Question

Use the following balance sheet information to answer this question.

.:.
a. What is the average duration of all the assets?
b. What is the average duration of all the liabilities?
c. What is the FI’s leverage- adjusted duration gap? What is the FI’s interest rate risk exposure?
d. If the entire yield curve shifted upward 0.5 percent (i. e., ∆R/(1 + R) = 0.0050), what is the impact on the FI’s market value of equity?
e. If the entire yield curve shifted downward 0.25 percent (i. e., ∆R/(1 + R ) = - 0.0025), what is the impact on the FI’s market value of equity?



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  • CreatedJanuary 27, 2015
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