A bank has a duration of 12 years for its assets and a duration of 18 years
Fantastic news! We've Found the answer you've been seeking!
Question:
A bank has a duration of 12 years for its assets and a duration of 18 years for its liabilities. Further, the leverage ratio (k) is 0.75. What will be the effect of rising interest rates on the bank's equity?
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-1259717772
9th edition
Authors: Anthony Saunders, Marcia Millon Cornett
Posted Date: