The duration of the assets of your bank is 5.3 years and the duration of your liabilities is 2.1 years.Your bank has $320,000 in assets,
The duration of the assets of your bank is 5.3 years and the duration of your liabilities is 2.1 years.Your bank has $320,000 in assets, $300,000 in liabilities and $20,000 in equity.Suppose the current fed funds rate is 2% and the Fed decides to increase interest rate by 50 basis points. What is the new equity value of your balance sheet?
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Authors: John E. Hanke, Dean Wichern
9th edition
132301202, 978-0132301206
