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Now assume that the bank has total assets of $30 billion and total liabilities of $25 billion, and all asset and liability cash flows are
Now assume that the bank has total assets of $30 billion and total liabilities of $25 billion, and all asset and liability cash flows are proportional to the cash flows given in this problem. How much would the value of the bank change if interest rates rise from 4.5% to 5.0%? What about if interest rates change from 4.5% to 4.2%? Assume that the total assets and total liabilities have the same duration profile as the cash flows given in this problem. Show your calculations in the spreadsheet.
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