A bank has two 3-year commercial loans with a present value of $70 million. The first is
Question:
a. What is the duration of the bank’s commercial loan portfolio?
b. What will happen to the value of its portfolio if the general level of interest rates increases from 8% to 8.5%?
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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Financial Markets And Institutions
ISBN: 978-0132136839
7th Edition
Authors: Frederic S. Mishkin, Stanley G. Eakins
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