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A savings banks weighted average asset duration is 7 years. Its total liabilities amount to $900 million, while its assets total $1 billion. What is
- A savings banks weighted average asset duration is 7 years. Its total liabilities amount to $900 million, while its assets total $1 billion.
- What is the dollar-weighted duration of the banks liability portfolio if it has zero leverage adjusted duration gap?
- Does zero duration gap mean the bank has hedged the interest rate risk perfectly? Comment on it by referring to the problems with duration.
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