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Bank X's total assets is $170 million with a duration of 8 years, and its liabilities is $140 million with a duration of 4 years.
Bank X's total assets is $170 million with a duration of 8 years, and its liabilities is $140 million with a duration of 4 years.
a) What is the duration gap for the bank?
b) If interest rate decrease from current level of 8% to 7%, how much bank's net worth changes in $?
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