Question
A bank has assets with a total value of $14.460 billion, $14.270 billion of which are rate sensitive. The market value of the banks liabilities
A bank has assets with a total value of $14.460 billion, $14.270 billion of which are rate sensitive. The market value of the bank’s liabilities totals $12.833 billion. All liabilities are rate sensitive. The average duration of the bank’s assets and liabilities are 5.240 years and 2.369 years, respectively.
What is the bank’s leverage adjusted duration gap?
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Bank Management
Authors: Timothy W. Koch, S. Scott MacDonald
8th edition
1133494684, 978-1305177239, 1305177231, 978-1133494683
