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DCB bank has an assets size $1,200 million, with duration DA = 2.5 years, DL = 0.80 years. In addition, the total liability is $1,104
- DCB bank has an assets size $1,200 million, with duration DA = 2.5 years, DL = 0.80 years. In addition, the total liability is $1,104 million. According to the duration gap model, what size interest rate change would make the institution insolvent if rates are currently 5%?
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
13th edition
132743469, 978-0132743464
