Question
Calculate the leverage-adjusted duration gap to four decimal places and state the FI's interest rate risk exposure of this institution. Assets Cash Loans Treasuries
Calculate the leverage-adjusted duration gap to four decimal places and state the FI's interest rate risk exposure of this institution. Assets Cash Loans Treasuries Liabilities and Equity Time Deposits CDs Equity Amount $75 million $750 million $175 million $350 million $575 million $75 million Rate 12 percent 9 percent 7 percent 8 percent Duration 1.75 years 7.00 years 1.75 years 2.50 years
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
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