Question
The average duration of the loans is 10 years. The average duration of the deposits is 3 years. Consumer Loans $50 million Commercial Loans $400
The average duration of the loans is 10 years. The average duration of the deposits is 3 years.
Consumer Loans $50 million Commercial Loans $400 million
Total Assets $250 million
Deposits $235 million
Equity $15 million
Total Liabilites & Equity $250 million
What is the leveraged-adjusted duration gap of the bank's portfolio?
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
