financial risk management Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value= RM1.5 million Liability - Bond B Modified...

financial risk management

Assume you have the following asset and liability in your Balance Sheet:
Asset - Bond A
Modified Duration = 2.6 years
Value= RM1.5 million
Liability - Bond B
Modified Duration = 3.1 years
Value= RM1.0 million

 a. Calculate the duration gap.