Question
Determine the duration gap of a financial institution with an average duration of assets of 3.2 years, an average duration of liabilities of 4.5 years
Determine the duration gap of a financial institution with an average duration of assets of 3.2 years, an average duration of liabilities of 4.5 years assuming the market value of assets is $405 million and the market value of liabilities equal $382 million.
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Financial Markets And Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
7th Edition
013213683X, 978-0132136839
