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Risky Bank has the following assets and liabilities. The duration of each of these items is also listed. Average interest rates on assets are 7
Risky Bank has the following assets and liabilities. The duration of each of these items is
also listed. Average interest rates on assets are and average interest rates on liabilities
are Round your answers to decimals. Calculate:
a the weighted duration of the bank's assets
b the weighted duration of the bank's liabilities
c the modified duration of the bank's assets
d the modified duration of the bank's liabilities
e the change in equity for a one percentage point rise in interest rates
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