The manager for Tyler Bank and Trust has the following assets and liabilities to manage: If the

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The manager for Tyler Bank and Trust has the following assets and liabilities to manage:

If the manager wants a duration gap of 3.00, what level of saving accounts should the bank raise? Assume that any difference between assets and liabilities is held as cash (duration =0).

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Financial Markets And Institutions

ISBN: 978-0132136839

7th Edition

Authors: Frederic S. Mishkin, Stanley G. Eakins

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Question Posted: Nov 12, 2012 01:15 AM

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The manager for Tyler Bank and Trust has the following assets and liabilities to manage: If the

Question:

all Duration (in years) 9.00 2.00 5.00 Asset Value $75,000,000 Bonds Consumer loans $875,000,000 Commercial loans $700,000,000 Duration (in years) Liability Value 1.00 0.50 Saving accounts

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DUR a 900 1151035 200 3451035 500 5751035 444 Assume that the Saving Account value Y DUR ...View the full answer

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