Question
Assume a bank has $200 million of assets with a duration of 2.5, and $190 million of liabilities with a duration of 1.05. If interest
Assume a bank has $200 million of assets with a duration of 2.5, and $190 million of liabilities with a duration of 1.05. If interest rates increase from 5 percent to 6 percent, the net worth of the bank falls by
A) $1 million. B) $2.4 million. C) $3.6 million. D) $4.8 million.
The answer is D. Can you explain why?
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Foundations Of Financial Markets And Institutions
Authors: Frank J Fabozzi, Franco G Modigliani, Frank J Jones
4th Edition
0136135315, 978-0136135319
