Question
Big Bank has $1000 in assets with a duration of 7 years, and $900 of liabilities with a duration of 2 years. It also has
Big Bank has $1000 in assets with a duration of 7 years, and $900 of liabilities with a duration of 2 years. It also has equity capital of $100.
a. What is the banks duration gap?
b. What is the impact on its equity capital of a rise in interest rates from 4% to 5%?
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Bond Markets Analysis and Strategies
Authors: Frank J.Fabozzi
9th edition
133796779, 978-0133796773
