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!
