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)
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?
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Rising interest rates can have a mixed effect on a banks equity depending on the banks assetliabilit...
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Financial Institutions Management A Risk Management Approach
Authors: Anthony Saunders, Marcia Millon Cornett
9th edition
1259717771, 1259717772, 9781260048186, 1260048187, 978-1259717772
