Question
RGV banks cash flows from assets (loans) and liabilities (deposits) are as follows: Expected Cash Inflows from Assets Expected Cash Outflows from Liabilities Annual Period
RGV banks cash flows from assets (loans) and liabilities (deposits) are as follows:
| Expected Cash Inflows from Assets | Expected Cash Outflows from Liabilities | Annual Period in Which Cash Receipts Are Expected |
| $550 | $500 | 1 |
| 600 | 650 | 2 |
| 700 | 500 | 3 |
What is the duration gap?
| +0.505 | ||
| -1.075 | ||
| -0.805 | ||
| +0.075 | ||
| +1.605 |
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Building Financial Models
Authors: John Tjia
2nd Edition
0071608893, 978-0071608893
