A bank has D A = 2.5 years, D L = 0.80 years, and k = 92%.

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A bank has D_A = 2.5 years, D_L= 0.80 years, and k = 92%. Assets are equal to $1,200 million. According to the duration gap model, what size interest rate change would make the institution insolvent if rates are currently 5 percent?

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Financial Markets and Institutions

ISBN: 978-0077861667

6th edition

Authors: Anthony Saunders , Marcia Cornett

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Posted Date: Jan 09, 2021 07:46 PM

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A bank has D A = 2.5 years, D L = 0.80 years, and k = 92%.

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Total Liabilities 92S1200 1104 Total assets 1200 Duration of liabilitie... View the full answer

Financial Markets and Institutions

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