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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Total Liabilities 92S1200 1104 Total assets 1200 Duration of liabilitie...
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Authors: Anthony Saunders, Marcia Cornett
6th edition
9780077641849, 77861663, 77641841, 978-0077861667
