The balance sheet of a financial institution (the amounts in thousands of euros and the maturity in years) is given.  Amounts Duration Treasury Bills 90 0,5 Short Term Treasury Bills 60 0.9 Treasury Bills 200? Loans 3,000 7 Deposits 2,000 1 Central Bank Funds 250 0.01 0.01 Equity (Equity) 750 Government bonds mature in 5 years, pay 8% annual interest and are issued at par. a) What is the duration of the government bond portfolio? b) What is the average duration of total assets? c) What is the average duration of total liabilities? d) What is the weighted average exposure adjusted for leverage? What is the exposure to interest rate risk?

Answer rating: 100% (QA)

a duration of bond Macaulay duration PVCVPVCF2PVCFn modified duration Macaulay duration1YTM year A Treasury bills 8 year X CF Discount factor 10 PV of ... View the full answer