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If the market value of a bank's total assets is $1,000 million and total liabilities is $500 million. The average asset duration of the bank
If the market value of a bank's total assets is $1,000 million and total liabilities is $500 million. The average asset duration of the bank is 5 years and its average liability duration is 3 years. Currently, market interest rates are 8 percent. If interest rates increase by 2 percent.
Calculate this bank's change in net worth.
Net worth will decrease by $55.5 million.
Net worth will increase by $55.5 million.
Net worth will decrease by $64.81 million.
Net worth will increase by $64.81 million.
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