medium · Frm Part 2 Liquidity & Treasury Risk
A bank has assets of 100 million with a duration of 4.5 and liabilities of 90 million with a duration of 2.0.
To immunize the economic value of equity against a parallel rate shift, what is the required Duration Gap (DGAP)?
- 1.0
- 2.5
- 2.7
- 0
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