A bank has an average duration of assets (DURa) of 3.6 and an average duration of liabilities
Fantastic news! We've Found the answer you've been seeking!
Question:
A bank has an average duration of assets (DURa) of 3.6 and an average duration of liabilities (DURl) of 2.1. The bank’s total assets are $36,000 and its total liabilities are $29,000. The current interest rate is 4 percent and the interest rate is expected to become 4.25 percent. Calculate the dollar value of total liabilities after the interest rate change. Round your answer to the nearest dollar.
Answer the following based on the information from the previous question.
What will be the change in capital as a percentage of total assets due to the interest rate change?
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-1259717772
9th edition
Authors: Anthony Saunders, Marcia Millon Cornett
Posted Date: