This is an interest rate risk duration and convexity question.

Please solve the following questions by either using excel (provide formulas used) or by written hand.

8.15 Suppose that a bank has $10 billion of one-year loans and $30 billion of five-year loans. These are financed by $35 billion of one-year deposits and $5 billion of five-year deposits. The bank has equity totaling $2 billion and its return on equity is currently 12%. Estimate what change in interest rates next year would lead to the bank's retumon equity being reduced to zero. Assume that the bank is subject to a tax rate of 30%