Question
Given the following information Rate sensitive assets = $16.14m Non rate sensitive assets = $50.66m Rate sensitive liabilities = $24.75m Non rate sensitive liabilities =
Given the following information
Rate sensitive assets = $16.14m Non rate sensitive assets = $50.66m
Rate sensitive liabilities = $24.75m Non rate sensitive liabilities = $32.96m
Equity Capital = $9.09m
A. Perform a Standard Gap Analysis and a Duration Analysis using the above data if you have a 1.45% decrease in interest rates and an average duration of assets of 5.4 years and an average duration of liabilities of 3.2 years.
B. Determine the new level of equity capital.
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Money Banking and Financial Markets
Authors: Stephen Cecchetti, Kermit Schoenholtz
4th edition
007802174X, 978-0078021749
