Duration for shareholder's Equity

From: Per Brugge
Affiliation: CGE&Y
Address: perbrugge@hotmail.com
Date: 27 Aug 2003
Time: 10:25:26

Comments

We are trying to use gap analysis to match the durations of assets and liabilities. A complicating factor is that we want to match the asset's duration with the duration of (liabilities + shareholder's equity). So to do this we need to define/assume a duration for the shareholder's equity.

Anyone who have any ideas of a suitable approach for this?`

Thanks!

//Per