Multiple Choice
A bank has an average asset duration of 5 years and an average liability duration of 9 years.This bank has total assets of $1,000 million and total liabilities of $850 million.Currently,market interest rates are 5 percent.What will be this bank's leverage-adjusted duration gap?
A) -4 years
B) 4 years
C) 2.65 years
D) -2.65 years
E) 3.65 years
Correct Answer:
Verified
Correct Answer:
Verified
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