Question
Suppose that bank has an average asset duration of 3.25 years and average liability duration of 2.75 years and it holds $145million of total assets
Suppose that bank has an average asset duration of 3.25 years and average liability duration of 2.75 years and it holds $145million of total assets and $98 million if total liabilities. What is duration gap?
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Introduction To Derivatives And Risk Management
Authors: Robert Brooks, Don M Chance, Roberts Brooks
8th Edition
0324601212, 9780324601213
