Lecture 7 - Asset/Liability Management (GAP or Repricing Model)

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EXAM - Be able to do problems similar to Chapter 7 problems of 3, 5, 6, and 8 and understand relationships discussed in class or notes.  See notes below in file.  The first part of the notes applies to this lecture and the second part of the notes applies to Lecture 8.

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Do not print the following file on Treasury rates but we will look at it as an example of short- and long-term rates

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Print or view page 8 (this is equivalent to p. 10 on pdf version) of the assigned SunTrust Banks, Inc. Performance Report (see file below) and bring to classWe will examine the one-year gap measure (aka net assets repriceable within one year).  KNOW how this measure relates to risk.

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