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Interest rate risk A bank has assets for 100 mill. EUR with an average duration of 10 years, and liabilities of 95 mill. EUR financed
- Interest rate risk A bank has assets for 100 mill. EUR with an average duration of 10 years, and liabilities of 95 mill. EUR financed through a two-year 4 percent semiannual coupon bond selling at par. A) What is the leverage-adjusted duration gap? B) What is the impact on the equity capital of the bank if interest rates increases by 10 basis points (0,1 percent)?
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