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The Clean Bank has the following assets and liabilities as of year-end. All asset and liability items have face value of $1,000 and are priced
The Clean Bank has the following assets and liabilities as of year-end. All asset and liability items have face value of $1,000 and are priced at par. And interests and coupons are paid annually for all asset and liability items. Please calculate the Clean Bank's maturity gap. What does the maturity gap imply about the interest risk of the bank? Will your view on the interest risk of the bank be different under duration model? Explain carefully
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