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bitfudge
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August 12, 2017, 08:17:56 PM
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Hi, does anyone here have knowledge on Finance? I need help with a question regarding Duration Gap Analysis. Thank you Smiley
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August 12, 2017, 10:46:33 PM
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Hi, does anyone here have knowledge on Finance? I need help with a question regarding Duration Gap Analysis. Thank you Smiley

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?
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August 13, 2017, 03:45:30 PM
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Hi, does anyone here have knowledge on Finance? I need help with a question regarding Duration Gap Analysis. Thank you Smiley

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!
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