Suppose you are manager of a bank whose ($200) million of assets have an average duration of

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Suppose you are manager of a bank whose \($200\) million of assets have an average duration of five years and whose \($160\) million liabilities have an average duration of seven years. Conduct a duration analysis for the bank and show what will happen to the net worth of the bank if interest rates fall by 1%. What will happen if the rates rise by 1%? When would the bank be better off?

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