What should be duration of assets for bank balance sheet

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Reference no: EM131995594

The market value balance sheet of “DotCom Bank” shows that it has: $ 10 million deposits in checking account deposits with a duration of 2 months $ 5 million in cash with zero duration $ 25 million in short - term time deposit accounts with a duration of 1 year $ 50 million in medium term time deposit accounts with a duration of 2.5 years $ 5 million in accounts - receiv ables backed loans with a duration of 1.5 years $ 1 million in interbank overnight loans with zero duration. $ 99 million in mortgages with a duration of 8 years. What should be the duration of assets for the bank’s balance sheet to be immunized against the interest rate risk?

Reference no: EM131995594

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