Assume a bank has $200 million of assets with a duration of 2.5,and $190 million of liabilities with a duration of 1.05. The duration gap for this bank is

Question

Quizplus · Accepted Answer

Duration gap = (assets duration - liabilities duration)
Duration gap = (2.5 - 1.05)
Duration gap = 1.45 years

Therefore, the duration gap for this bank is 1.5 years. Option C is the correct answer.

Assume a Bank Has $200 Million of Assets with a Duration