Suppose the financial statements of Northern Trust, Fifth Third Bank, and JP Morgan Chase Bank all exhibit
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Suppose the financial statements of Northern Trust, Fifth Third Bank, and JP Morgan Chase Bank all exhibit negative duration GAPs on their respective balance sheets for yearend How would you interpret a negative duration GAP. What type of assetliability structure would lead to a negative duration GAP? Would a negative duration GAP ever be desirable? If so under what type of interest rate forecasts? How could these banks use an interest rate swap to magnify their strategic interest rate risk sensitivity
Related Book For
Intermediate Accounting
ISBN: 978-0132162302
1st edition
Authors: Elizabeth A. Gordon, Jana S. Raedy, Alexander J. Sannella
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