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A bank has the following balance sheet: Assets Liabilities & Equity $750 million Debt $500 million Net Worth $250 million Currently, the banks debt portfolio
A bank has the following balance sheet:
Assets Liabilities & Equity
$750 million Debt $500 million
Net Worth $250 million
Currently, the banks debt portfolio has a modified duration of 12 years. In order to immunize the bank's Net Worth, its manager constantly manage the modified duration of the bank's Assets portfolio accordingly. What should be the value of the modified duration of the asset portfolio?
A bank has the following balance sheet:
Assets Liabilities & Equity
$750 million Debt $500 million
Net Worth $250 million
Currently, the banks debt portfolio has a modified duration of 12 years. In order to immunize the bank's Net Worth, its manager constantly manage the modified duration of the bank's Assets portfolio accordingly. What should be the value of the modified duration of the asset portfolio?
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