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Bank A has a simple structure. It has $4 million liabilities with Duration of 1. The value of the assets is $5 million. The assets

Bank A has a simple structure. It has $4 million liabilities with Duration of 1. The value of the assets is $5 million. The assets are invested in a 10 year zero-coupon bond. The current interest rate is 10%. Suddenly all interest rates drop by 2%. Compute the duration gap. What is the effect of the interest rate change on the bank net worth?

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