Question
Assume that a commercial bank has a positive duration gap of 0.5 and the current interest rate is 12% which is expected to increase to
Assume that a commercial bank has a positive duration gap of 0.5 and the current interest rate is 12% which is expected to increase to 13%. Compute the effect of this change in interest rate on the health of the bank. The bank has total assets of PKR 100 million?
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Modern Portfolio Theory and Investment Analysis
Authors: Edwin Elton, Martin Gruber, Stephen Brown, William Goetzmann
9th edition
9781118805800, 1118469941, 1118805801, 978-1118469941
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