Question
ABC Insurance Company has $200 million in assets and $150 million in liabilities. The company has a duration gap of 2 years. If interest rates
ABC Insurance Company has $200 million in assets and $150 million in liabilities. The company has a duration gap of 2 years. If interest rates increase by 1%, what is the expected change in the value of the company's net worth? Assume a parallel shift in the yield curve and that the company does not take any hedging action. The company's asset duration is 4 years and its liability duration is 2 years.
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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978-0078034800, 78034809, 978-0071051590
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