What is the optimal amount of the swap to effectively


A bank has $650 million of assets with a duration of eight years and $575 million of liabilities with a duration of four year. the bank want to hedge it duration gap with a swap that has a fixed-rate payments with a duration of seven years and floating-rate payment with a duration of three years. What is the optimal amount of the swap to effectively macrohedge against the adverse effect of a change in interest rates on the value of the bank's equity?

Request for Solution File

Ask an Expert for Answer!!
Financial Management: What is the optimal amount of the swap to effectively
Reference No:- TGS02731939

Expected delivery within 24 Hours