Question
If the average asset duration of 4.7 years and an average liability duration of 3.3 years. The market value of the total assets is $1,500
If the average asset duration of 4.7 years and an average liability duration of 3.3 years. The market value of the total assets is $1,500 million and $1,000 million in total liabilities. What is the bank\\\'s leverage-adjusted duration gap?
A. positive gap of 8.0 years.
B. negative gap of 2.5 years.
C. positive gap of 1.4 years.
D. positive gap of 2.5 years.
E. None of the options is correct.
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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978-0078034800, 78034809, 978-0071051590
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