A Bank Has an Average Duration for Its Asset Portfolio

question 29

Multiple Choice

A bank has an average duration for its asset portfolio of 5.5 years.The bank has total assets of $1,000 million and total liabilities of $750 million.If this bank's leverage-adjusted duration gap is zero,what must be the duration of its liabilities portfolio?

• A)7.33 years
• B)4.125 years
• C)7.5 years
• D)5.5 years
• E)None of the options is correct.

---

Definitions:

Cytokines

Small proteins released by cells, especially those in the immune system, that have an effect on the interactions and communications between cells.

Immune System Cells

Components of the immune system, such as white blood cells, that work to protect the body from infectious diseases and foreign invaders.

Nervous System

The network of nerve cells and fibers that transmits nerve impulses between parts of the body, controlling and coordinating bodily functions.

Psychoneuroimmunology

An interdisciplinary field studying the interaction between psychological processes, the nervous system, and the immune system.