Question
If the market value of assets of a bank is $2,000 with an average duration of 5 years and market value of liabilities is $1,600
If the market value of assets of a bank is $2,000 with an average duration of 5 years and market value of liabilities is $1,600 with an average duration of 6.25 years.
Calculate the duration gap of this bank?
0 years
-2.25 years
1.25 years
-1.25 years
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Fundamentals Of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
1st Edition
0201844842, 978-0201844849
