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Suppose a bank has $500 million in interest rates sensitive assets, with a duration of 5 years, and $600 million of interest rate sensitive liabilities
Suppose a bank has $500 million in interest rates sensitive assets, with a duration of 5
years, and $600 million of interest rate sensitive liabilities with a duration of 2 years. If
interest rates increase from 3% to 4%, what is the percentage change in net worth of the
bank? Enter your response as a percent without the percent sign (for example, enter a
numerical answer of 0.0525 = 5.25%, as 5.25).
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