Transcribed Image Text
A bank has $100 million of investment grade bonds with aduration of 9.0 years. This bank also has $500 million ofcommercial loans with a duration of 5.0 years. This bank has $300million of consumer loans with a duration of 2.0 years. This bankhas deposits of $600 million with a duration of 1.0 year andnon-deposit borrowings of $100 million with an average durationof.25 years. What is this bank's duration gap? These are all of theassets and liabilities this bank has
Other questions asked by students
Chemistry
Mechanical Engineering
Accounting