Determine the minimum average duration of assets a bank needs if it wants to tolerate a duration
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Determine the minimum average duration of assets a bank needs if it wants to tolerate a duration gap not lower than -1.5 years, assuming that the average duration of liabilities is 3 years, that assets are currently valued at $300 million, and that liabilities are $280 million.
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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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