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What is the weighted average duration of assets? 4. What is the bank's duration gap? 5. What is the bank's weighted average cost of
What is the weighted average duration of assets? 4. What is the bank's duration gap? 5. What is the bank's weighted average cost of liabilities? Market Assets Value Cash Loans $ 150 $ 675 175 $ 1,000 T-Bonds $ Total Rate 10% 5% Duration (Years) Liabilities and Equity Time Deposits $ 500 2.50 CDs 5.00 Equity 69 69 69 69 Market Value $ 400 100 $ $ 1,000 Rate 4% 6% Duration (Years) 1.25 3.00
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Bank Management and Financial Services
Authors: Peter Rose, Sylvia Hudgins
9th edition
78034671, 978-0078034671
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