View the step-by-step solution to:

consider a bank with the following balance sheet:

consider a bank with the following balance sheet:

Assets value duration liabilities value duration

Cash $10,000 0 4-yr bond @ Libor $3,000 1

5-year loan @5% 5,000 3 3-yr bond @ 5% 5,000 2

4-year loan @6% 5,000 2 6-year bond @6% 2,000 5

what is the bank's duration gap(in years)

Recently Asked Questions

Why Join Course Hero?

Course Hero has all the homework and study help you need to succeed! We’ve got course-specific notes, study guides, and practice tests along with expert tutors.


Educational Resources
  • -

    Study Documents

    Find the best study resources around, tagged to your specific courses. Share your own to gain free Course Hero access.

    Browse Documents
  • -

    Question & Answers

    Get one-on-one homework help from our expert tutors—available online 24/7. Ask your own questions or browse existing Q&A threads. Satisfaction guaranteed!

    Ask a Question