Question
Distinguish between duration analysis and duration gap analysis. Consider a change in rates from 10% to 9%. DURa = 4 years, DUR L =2.5 years;
Distinguish between duration analysis and duration gap analysis. Consider a change in rates from 10% to 9%. DURa = 4 years, DUR L =2.5 years; Value of assets = Taka 110M, Value of L = Taka 100M. Given these information show the impact of changes of interest on the net worth of the bank.
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Bond Markets Analysis And Strategies
Authors: Frank J Fabozzi
8th Edition
013274354X, 9780132743549
