A bank has DA = 2.4 years and DL= 0.9 years. The bank has total equity of $82 million and total assets of $850 million. Interest rates are at 6 percent.
What is the bank's duration gap in years?

Question

Quizplus · Accepted Answer

The duration gap (DGAP) is calculated using the formula: DGAP = DA - (DL * (1 + (E/A))), where DA is the duration of assets, DL is the duration of liabilities, E is the equity, and A is the assets. Plugging in the given values: DGAP = 2.4 - (0.9 * (1 + (82/850))) = 1.5868.

A Bank Has DA = 2