6. (20 points) The market value, duration, and convexity of a bank's assets and liabilities are...
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6. (20 points) The market value, duration, and convexity of a bank's assets and liabilities are given in the following table: Value Assets Liabilities $100M $50M 6 2 40 5 Duration Convexity (a) What is the value of the bank's net equity? 09. -T (b) What is the duration of the bank's net equity? 6. (20 points) The market value, duration, and convexity of a bank's assets and liabilities are given in the following table: Value Assets Liabilities $100M $50M 6 2 40 5 Duration Convexity (a) What is the value of the bank's net equity? 09. -T (b) What is the duration of the bank's net equity?
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