What is the leverage-adjusted duration gap?
A)0.605 years.
B)0.956 years.
C)0.360 years.
D)0.436 years.
E)0.189 years. [Refer to: 9-102]

Question

Quizplus · Accepted Answer

The leverage-adjusted duration gap is calculated as the difference between the duration of the assets and the duration of the liabilities, multiplied by the leverage ratio. In this case, the duration of the assets is 5.5 years, the duration of the liabilities is 4.9 years, and the leverage ratio is 1.2. Therefore, the leverage-adjusted duration gap is (5.5 - 4.9) * 1.2 = 0.605 years.

What Is the Leverage-Adjusted Duration Gap