Question
A savings banks weighted average asset duration is 15 years. Its total liabilities amount to $950 million, while its assets total 1 billion dollars. What
A savings bank’s weighted average asset duration is 15 years. Its total liabilities amount to $950 million, while its assets total 1 billion dollars. What is the dollar-weighted duration of the bank’s liability portfolio if it has zero leverage – adjusted duration gap
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Answer Dollarweighted duration DL 1579 years Workings Duration ...
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Bank Management and Financial Services
Authors: Peter Rose, Sylvia Hudgins
9th edition
78034671, 978-0078034671
