Question
A bank has D A = 2.5 years, D L = 0.80 years, and k = 92%. Assets are equal to $1,200 million. According to
A bank has DA = 2.5 years, DL= 0.80 years, and k = 92%. Assets are equal to $1,200 million. According to the duration gap model, what size interest rate change would make the institution insolvent if rates are currently 5 percent?
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Credit Derivatives Handbook Global Perspectives Innovations And Market Drivers
Authors: Greg Gregoriou, Paul Ali
1st Edition
0071549528, 978-0071549523
