Question: What are the principal limitations of duration gap analysis Can
What are the principal limitations of duration gap analysis? Can you think of some way of reducing the impact of these limitations?
Answer to relevant QuestionsSuppose that a savings institution has an average asset duration of 2.5 years and an average liability duration of 3.0 years. If the savings institution holds total assets of $560 million and total liabilities of $467 ...How is a financial institution’s duration gap determined?The cumulative interest rate gap of Poquoson Savings Bank increases 60 percent from an initial figure of $25 million. If market interest rates rise by 25 percent from an initial level of 3 percent, what changes will occur in ...A financial firm holds a bond in its investment portfolio whose duration is 15 years. Its current market price is $975. While market interest rates are currently at 6 percent for comparable quality securities, a decrease in ...Suppose market interest rates were expected to rise. What type of option would normally be used?
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