Problem 4 (15pt): Assume that the interest rate prevailing in the market is at 5%. Consider the following financial stateme a) (5pt) Calculate the duration gap for the bank. b) (5pt) If the bank decides to convert $5 million of its fixed-rate mortgages into variable-rate mortgages, what happens to its interest-rate risk? Explain with the duration gap analysis. c) (5pt) Given the estimates of duration in the table above, what will happen to the bank's equity value if the interest rate increases by 1% ? Will the bank stay in business? Why or why not