Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

FIN333 Bank has assets of 674 million Baht invested in a annual-coupon Government bond with the duration estimated at 6.55 years. The assets are financed

image text in transcribed

FIN333 Bank has assets of 674 million Baht invested in a annual-coupon Government bond with the duration estimated at 6.55 years. The assets are financed with equity and a 388 million Baht of three-year note with annual interest payments and the duration of 2.31 years. If the relative change in all market interest rates (Note: The relative change in interest rates is AR/(1+R)) is a decrease of 10 basis points, the impact on equity value is million Baht. (DO NOT round intermediate calculations. Round your answers to 2 decimal places.) The duration of the assets needs to be years to immunize the equity from changes in market interest rates. (DO NOT round intermediate calculations. Round your answers to 2 decimal places.)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

The Basics Of Public Budgeting And Financial Management

Authors: Charles E. Menifield

4th Edition

0761872116, 978-0761872115

More Books

Students also viewed these Finance questions

Question

Write a Python program to check an input number is prime or not.

Answered: 1 week ago

Question

Distinguish between formal and informal reports.

Answered: 1 week ago