Question
Suppose that a bank with positive net worth perfectly matches the duration of its assets and liabilities. What will happen to the value of this
Suppose that a bank with positive net worth perfectly matches the duration of its assets and liabilities. What will happen to the value of this bank's shares if interest rates rose unexpectedly? Discuss.
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Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
