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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)

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