IPS - Banks - leveraged adj duration gap

If anyone is having trouble remembering this obscure formula just remember the idea is to match dollar duration assets to the dollar duration of assets:

DDa = DDl or Duration assets = ( Mkt val Assets / Mkt Value liabilities ) * Duration liabilities or

Duration assets - k*Duration Liabilities

it probably won’t be on the test though…then again…You never know.

thanks for reminding me that there is still one more formula i need to write down 10 times.


Duration eq = Duration Assets - (Liabilities/Assets)Duration Liabilities