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R20 : Leverage-Adjusted Duration Gap
CFAI Text Vol 2, P419 (Reading 20). It is stated :
LADG (Leverage-Adjusted Duration Gap) meaures a bank's overall interest rate exposure.
What does a positive/negative LADG mean ? Is a positive/negative LADG favorable or unfavorable ?
Can anyone help ? |
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发表于 2011-7-11 15:25
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