Financial Risk Manager Part 2

Ultimate access to all questions.

Explanation:

D_A = 7.5 \times \frac{80}{648} + 4.23 \times \frac{423}{648} + 3.2 \times \frac{145}{648} = 4.40 \text{ years}

D_L = 2.3 \times \frac{376}{401} + 0.12 \times \frac{25}{401} = 2.16 \text{ years}

Thus, the leverage-adjusted duration gap is

D_A - D_L \times \frac{\text{Total Liabilities}}{\text{Total Assets}}

Leverage-adjusted duration Gap

$`$ 4.40` - 2.16 \times \frac{401}{648} = 3.06 \text{ years}

Explanation:

D_A = 7.5 \times \frac{80}{648} + 4.23 \times \frac{423}{648} + 3.2 \times \frac{145}{648} = 4.40 \text{ years}

D_L = 2.3 \times \frac{376}{401} + 0.12 \times \frac{25}{401} = 2.16 \text{ years}

Thus, the leverage-adjusted duration gap is

D_A - D_L \times \frac{\text{Total Liabilities}}{\text{Total Assets}}

Leverage-adjusted duration Gap

$`$ 4.40` - 2.16 \times \frac{401}{648} = 3.06 \text{ years}

Comments (0)

No comments yet.

Asset Composition	Avg. Duration (Years)	Dollar Amount (M)	Liability Composition	Avg. Duration (Years)	Dollar Amount (M)
Investment-grade bonds	7.5	80	Deposits	2.3	`$376`
Commercial loans	4.23	423	Non-deposit borrowings	0.12	`$25`
Consumer loans	3.2	`$145`
Total Assets		`$648`	Total Liabilities		`$401`

Exam-Like

Community

UAnonymous

Last updated: July 5, 2026 at 07:08

2.16 years, 4.40 years, 3.06 years

3.06 years, 4.40 years, 2.16 years

4.40 years, 2.16 years, 3.06 years

0.12 years, 3.2 years, 4.23 years