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Assume you manage a bank's asset portfolio with average duration of 10. If you think that next month the Central Bank will increase the interest
Assume you manage a bank's asset portfolio with average duration of 10. If you think that next month the Central Bank will increase the interest rates by 0.25% estimate the potential % gain or loss in the value of the bank's portfolio.
a): Loss of 5% b): Loss of 3.5% c): loss of 2.5% d): gain of 5% e): gain of 3.5% e. other
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