Question
Assuming that the average duration of ABC Banks's assets is four years, while the average duration of its liabilities is three years, a rise in
Assuming that the average duration of ABC Banks's assets is four years, while the average duration of its liabilities is three years, a rise in interest rates from 5 percent to 10 percent will cause the net worth of ABC Bank to _______ by _________ of the total original asset value.
Asset Liabilities
Rate sensitive $40M $50M
Fixed-Rate $60M $40M
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How To Trade With High Probability
Authors: Ricardo Moneta
1st Edition
1542590159, 978-1542590150
