The numbers provided are in millions of dollars and reflect market values: What is the weighted average duration of the liabilities of the FI?

Question

The numbers provided are in millions of dollars and reflect market values:  What is the weighted average duration of the liabilities of the FI?

Quizplus · Accepted Answer

To find the weighted average duration of liabilities, we need to multiply the market value of each liability by its duration, sum those values, and divide by the total market value of liabilities. Using the numbers provided, we can calculate:

(20 * 2.5 + 30 * 3.0 + 40 * 5.0 + 10 * 7.5 + 60 * 12.5) / (20 + 30 + 40 + 10 + 60) = 5.35 years

Therefore, the correct answer is B.

The Numbers Provided Are in Millions of Dollars and Reflect