Question
Use the following information for the all the parts of this question: Assets Mkt Value Rate Dur Liabilities Mkt. Value Rate Dur Cash $150 Time
Use the following information for the all the parts of this question:
Assets Mkt Value Rate Dur Liabilities Mkt. Value Rate Dur
Cash $150 Time Deposits $500 4% 1.25
3 yr. Loan $675 10% 3 yr. CD $400 6%
5 yr. Zero
Coupons $175 5% Equity $100
________________________________________________________________________Total
$1000 $1000
a) What is weighted average duration for assets?
b) What is weighted average duration for Liabilities?
- What is duration Gap?
- If interest rates decrease by 100 basis points, what is the market value of equity? Was the bank accurately hedged and why or why not?
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Freaking Idiots Guide Ebay Bundle
Authors: Nick Vulich
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