a. What is State Banks duration gap? b. Use these duration values to calculate the expected change

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a. What is State Bank’s duration gap?

b. Use these duration values to calculate the expected change in the value of the assets and liabilities of State Bank for a predicted increase of 1.5 percent in interest rates.

c. What is the change in equity value forecasted from the duration values for a predicted increase in interest rates of 1.5 percent?

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Financial Institutions Management A Risk Management Approach

ISBN: 978-1259717772

9th edition

Authors: Anthony Saunders, Marcia Millon Cornett

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Question Posted: May 27, 2019 11:13 AM

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a. What is State Banks duration gap? b. Use these duration values to calculate the expected change

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Financial Institutions Management A Risk Management Approach

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