Determine the minimum average duration of assets a bank needs if it wants to tolerate a duration
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Question:
Determine the minimum average duration of assets a bank needs if it wants to tolerate a duration gap not lower than – 1.2 years, assuming the average duration of liabilities is 3.5 years, assets are currently valued at $100 million and liabilities are $90 million.
Related Book For
Advanced Accounting
ISBN: 978-0538480284
11th edition
Authors: Paul M. Fischer, William J. Tayler, Rita H. Cheng
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