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Question #2: John is using the data from the balance sheet of a bank to determine its duration gap using the simple approach discussed in
Question #2: John is using the data from the balance sheet of a bank to determine its duration gap using the simple approach discussed in class. He collected the information below that covers all assets and liabilities in the bank's balance sheet. Assets Value ($ Millions) 170 Liabilities Value 190 30 Duration 1.0 Duration (Years) 4.0 3.2 0.3 Loans Securities Other Assets Deposits Other Borrowings 60 2.0 20 Using this information and simple approach to measure the duration of assets and liabilities discussed in class, estimate the duration of assets, liabilities, and the duration gap for the bank
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