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The duration of the assets of your bank is 5 . 3 years and the duration of your liabilities is 2 . 1 years. Your
The duration of the assets of your bank is years and the duration of your liabilities is years. Your bank has $ in assets, $ in liabilities and $ in equity. Suppose the current fed funds rate is and the Fed decides to increase interest rate by basis points. What is the new asset value of your balance sheet?
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