Question
A bank has average asset duration of 3.5 years, the average duration of the liabilities is 1.5 years, and the bank has total assets of
A bank has average asset duration of 3.5 years, the average duration of the liabilities is 1.5 years, and the bank has total assets of $6 billion and $720 million in equity. The bank has an ROE of 8.00%. If all interest rates decrease 100 basis points, the predicted change in the bank's market value of equity is ___________.
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The Handbook Of Credit Portfolio Management
Authors: Greg Gregoriou, Christian Hoppe
1st Edition
0071598340, 978-0071598347
