The Chief Risk Officer ("CRO") for JCUS Bank has the following Asset/Liability profile (in US$ billions).

 If the CRO wants a duration gap of 3.5, how much should the bank raise in savings accounts?

 

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Assets Bonds (Duration - 10) Consumer Loans (Duration - 3) Corporate Loans (Duration - 6) US$ 75 176 155 Liabilities Current Accounts (Duration - 2) Savings Accounts (Duration - 1.5) US$ 85 Assets Bonds (Duration - 10) Consumer Loans (Duration - 3) Corporate Loans (Duration - 6) US$ 75 176 155 Liabilities Current Accounts (Duration - 2) Savings Accounts (Duration - 1.5) US$ 85

Answer rating: 100% (QA)

To calculate the amount the bank should raise in savings accounts to achieve a duration gap of 35 we ... View the full answer