|
Title: Degree in Finance Post by: bitfudge on August 12, 2017, 08:17:56 PM Hi, does anyone here have knowledge on Finance? I need help with a question regarding Duration Gap Analysis. Thank you :)
Title: Re: Degree in Finance Post by: freeyourmind on August 12, 2017, 10:46:33 PM Hi, does anyone here have knowledge on Finance? I need help with a question regarding Duration Gap Analysis. Thank you :) I have a degree in Finance...not that I think that makes much of a difference to be honest. What question did you need help with? Title: Re: Degree in Finance Post by: bitfudge on August 13, 2017, 03:45:30 PM Hi, does anyone here have knowledge on Finance? I need help with a question regarding Duration Gap Analysis. Thank you :) I have a degree in Finance...not that I think that makes much of a difference to be honest. What question did you need help with? Q: A Bank has 50 million in Assets and 40 million Liabilities, with a DUR.L = 2.5 years. Supposed the banks own Assets depreciate by 2% (NW/A= -0.02) when the interest goes from 5% - 6%. a) What is the Duration Gap b) What is the Duration on the Assets. How am I supposed to know the duration gap when I have no idea of the duration on the Assets? The correct answer to a) 2,1053 and b) DUR.A= 4,1053. Thank you in advance! |