1.14. Suppose that you are the manager of a bank whose $100 billion of assets have an...
Question:
1.14. Suppose that you are the manager of a bank whose $100 billion of assets have an average duration of four years and whose $90 billion of liabilities have an aver- age duration of six years. Conduct a duration analysis for the bank, and show what will happen to the net worth of the bank if interest rates rise by 2 percentage points. What actions could you take to reduce the bank's interest-rate risk?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
The Economics Of Money Banking And Financial Markets
ISBN: 9780321598905
9th Edition
Authors: Frederic S. Mishkin
Question Posted: