Question
Determine the minimum average duration of assets a bank needs if it wants to tolerate a duration gap not lower than 1.2 years, assuming
Determine the minimum average duration of assets a bank needs if it wants to tolerate a duration gap not lower than – 1.2 years, assuming the average duration of liabilities is 3.5 years, assets are currently valued at $100 million and liabilities are $90 million.
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From th eproblem statement we are given that Average Duration of Liabilit...
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Advanced Accounting
Authors: Paul M. Fischer, William J. Tayler, Rita H. Cheng
11th edition
538480289, 978-0538480284
