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If interest rates rise 1% for all assets and liabilities, what is the approximate expected change in the economic value of equity? Market Value Duration
If interest rates rise 1% for all assets and liabilities, what is the approximate expected change in the economic value of equity? Market Value Duration (Years) Assets Rate Rate Liabilities Duration and Market (Years) Equity Value Time Deposits s 500 2.50 CDS $ 400 5.00 Equity s 100 S 1,000 4% 6% Cash Loans T-Bonds Total 1.25 3.00 s 150 s 675 $ 175 $ 1,000 10% 5% 0 -$2.56 $5.84 -$5.84 $6.78 -$6.78
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