Question
I do not understand the difference between the 2 analysis. Is there a formula to follow for them? 2. Given the following information Rate sensitive
I do not understand the difference between the 2 analysis. Is there a formula to follow for them?
2. Given the following information
Rate sensitive assets = $16.14mNon rate sensitive assets = $50.66m
Rate sensitive liabilities = $24.75mNon rate sensitive liabilities = $32.96m
Equity Capital = $9.09m
A. Perform a Standard Gap Analysis and a Duration Analysis using the above data if you have a 1.45% increase in
interest rates and an average duration of assets of 6.6 years and an average duration of liabilities of 2.7 years.
B. Determine the new level of equity capital.
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