Question
How would you interpret a negative duration GAP. What type of asset/liability structure would lead to a negative duration GAP? Would a negative duration GAP
How would you interpret a negative duration GAP. What type of asset/liability structure would lead to a negative duration GAP? Would a negative duration GAP ever be desirable? If so, under what type of interest rate forecasts? How could these banks use an interest rate swap to magnify their strategic interest rate risk sensitivity?
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Fundamentals of Investments, Valuation and Management
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
8th edition
1259720697, 1259720691, 1260109437, 9781260109436, 978-1259720697
