X hits on this document

Powerpoint document

MANAGING INTEREST RATE RISK: DURATION GAP AND MARKET VALUE OF EQUITY - page 20 / 39

107 views

0 shares

0 downloads

0 comments

20 / 39

Calculating DGAP

DA= (683 / 974) * 2.68 + (191 / 974) * 4.97 = 2.86 yrs

DA= (614 / 906) * 1.00 + (292 / 906) * 2.80   = 1.58 yrs

DGAP = 2.86 - (906 / 974) * 1.58 = 1.36 years

What does 1.36 mean? The average duration of assets > liabilities, hence asset values change by more than liability values.

Document info
Document views107
Page views107
Page last viewedSun Dec 11 08:11:05 UTC 2016
Pages39
Paragraphs367
Words2250

Comments