Question: 2.946 is the answer, I just need to know how they got that. Thanks! What is the duration GAP of a bank whose assets and
2.946 is the answer, I just need to know how they got that. Thanks!
What is the duration GAP of a bank whose assets and liabilities are as follows? Assets: Cash $48 million Short-term Investments (D=0.5) $149 million Short-term Loans (D=0.9) $204 million Long-term Investments (D=4.7) $246 million Long-term Loans (D=5.8) $398 million Liabilities: Demand Deposits $49 million Short-term Interest-bearing Deposits (D=0.5) $596 million CDs (D=1.9) $150 million Borrowed funds (D=0.4) $152 million Round to three decimals. Answer Key:2.946
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