ALCO members are considering the following EVE sensitivity estimates. The figures refer to the percentage change in

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ALCO members are considering the following EVE sensitivity estimates. The figures refer to the percentage change in economic value of equity compared with the base rate forecast scenario. What does the information say about the bank’s overall interest rate risk? Discuss the role and impact of embedded options.
-3 - 2% - 1% + 1% + 2% + 3%
% change in EVE - 38% - 47% - 19% + 5% + 14% + 18%
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Bank Management

ISBN: 978-1133494683

8th edition

Authors: Timothy W. Koch, S. Scott MacDonald

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