Question
Bank of Narnia has the following characteristics: Asset portfolio duration D A = 5.75 years; Liability portfolio duration D L = 3.9 years Market Value
Bank of Narnia has the following characteristics:
Asset portfolio duration DA = 5.75 years; Liability portfolio duration DL = 3.9 years
Market Value of Assets A = $125 million; Liabilities/assets ratio (k) = 0.8
If it is expected that interest rates are going to increase from 3.5% to 4.1%, what is the expected effect upon the net worth (E) of the bank?
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Financial Markets And Institutions
Authors: Anthony Saunders, Marcia Millon Cornett
1st International Edition
0071181334, 9780071181334
