Determine the duration gap of a financial institution with an average duration of assets of 3.2 years,
Question:
Determine the duration gap of a financial institution with an average duration of assets of 3.2 years, and an average duration of liabilities of 4.5 years assuming the market value of assets is $405 million and the market value of liabilities equal $382 million.
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The duration gap measures the difference between the average duration of a financial institutions assets and the average duration of its liabilities I...View the full answer
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Related Book For 
Financial Markets And Institutions
ISBN: 9781292215006
9th Global Edition
Authors: Stanley Eakins Frederic Mishkin
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