Determine significant leverage-adjusted duration gap

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Question: Suppose that a thrift institution has an average asset duration of 2.5 years and an average liability duration of 3.0 years. If the thrift holds total assets of $560 million and total liabilities of $467 million, does it have a significant leverage-adjusted duration gap? If interest rates rise, what will happen to the value of its net worth?

Reference no: EM131717506

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