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A Bank has the following balance sheet (in millions): Assets $210 Liabilities $189 Equity 21 Total $210 Total $210 The duration of the assets is
| A Bank has the following balance sheet (in millions): |
| Assets | $210 | Liabilities | $189 |
| Equity | 21 | ||
| Total | $210 | Total | $210 |
| The duration of the assets is 7 years and the duration of the liabilities is 5 years. The bank is expecting interest rates to fall from 10 percent to 9 percent over the next year. |
| What is the duration gap for the Bank |
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A Financial Crisis Manual Reflections And The Road Ahead
Authors: Dimitrios D. Thomakos , Platon Monokroussos, Konstantinos I. Nikolopoulos
1st Edition
