Question
If a Bank's market value of assets is $2,000 with an average duration of 5 years and market value of liabilities is $1,600 with an
If a Bank's market value of assets is $2,000 with an average duration of 5 years and market value of liabilities is $1,600 with an average duration of 6.25 years. Market interest rates start at 6 percent and fall by 1 percent.
Calculate the change in the net worth of this bank?
-$11.29
$22.22
$11.29
$0
-$22.22
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Contemporary Issues In Quantitative Finance
Authors: Ahmet Can Inci
1st Edition
1032101121, 978-1032101125
