Suppose that a savings institution has an average asset duration of 4.5 years and an average liability

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Suppose that a savings institution has an average asset duration of 4.5 years and an average liability duration of 5.0 years. If the savings institution holds total assets of BD 630 million and total liabilities of BD 537 million.

Answer the following questions.

does it have a significant leverage-adjusted duration gap?
If interest rates falls, what will happen to the value of its net worth?

Related Book For answer-question

Bank Management and Financial Services

ISBN: 978-0078034671

9th edition

Authors: Peter Rose, Sylvia Hudgins

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Posted Date: Mar 01, 2024 06:37 AM

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Suppose that a savings institution has an average asset duration of 4.5 years and an average liability

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Bank Management and Financial Services

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