Suppose that a savings institution has an average asset duration of 2.5 years and an average liability
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Suppose 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 million, does it have a significant leverage-adjusted duration gap? If interest rates rise, what will happen to the value of its net worth?
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This bank has a very slight negative duration gap so small in fact that ...View the full answer
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Related Book For
Bank Management and Financial Services
ISBN: 978-0078034671
9th edition
Authors: Peter Rose, Sylvia Hudgins
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