a ne following is the balance sheet of a bank which uses Duration to manage its Interest rate risk LIABs. & EQUITY ASSETS 240 Total Liabilities 40 280 Total Capital Total Assets Assume the modified duration of assets is 3.modified duration of the 6 and the the liabilities is 2.8. a Calculate the Duration GAP (Use the modified duration quantities.) D. What interest rate movement is the bank expecting ?Explain. C. Calculate the change in Net Worth (A NW) for a 0.75% drop in yields. d. Recalculate the A NW for a 0.50% rise in yields