DCB bank has an assets size $1,200 million, with duration D_A = 2.5 years, D_L = 0.80 years. In addition, the total liability is $1,104 million. According to the duration gap model, what size interest rate change would make the institution insolvent if rates are currently 5%?

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The Answer of DCB bank has an assets size $1,200 million, with duration D_A = 2.5 years, D_L = 0.80 years. In addition, the total liability is $1,104 million. According to the duration gap model, what size interest rate change would make the institution insolvent if rates are currently 5%?

DCB Bank Has an Assets Size $1,200 Million, with Duration