A bank has an average asset duration of 5 years and an average liability duration of...
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A bank has an average asset duration of 5 years and an average liability duration of 3 years. This bank has total assets of $500 million and total liabilities of $250 million. Currently, market interest rates are 10 percent. If interest rates fall by 2 percent (to 8 percent), what is this bank's estimated change in economic value of equity (EVE)? You can use the current market interest rate as the weighted average of earning asset yield. Show all you work. Edit View Insert Format Tools Table A bank has an average asset duration of 5 years and an average liability duration of 3 years. This bank has total assets of $500 million and total liabilities of $250 million. Currently, market interest rates are 10 percent. If interest rates fall by 2 percent (to 8 percent), what is this bank's estimated change in economic value of equity (EVE)? You can use the current market interest rate as the weighted average of earning asset yield. Show all you work. Edit View Insert Format Tools Table
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Here Duration of Assets D1 5 Duration of liabilities D2 3 ... View the full answer
Related Book For
Essentials of Federal Taxation 2018
ISBN: 9781260007640
9th edition
Authors: Brian Spilker, Benjamin Ayers, John Robinson, Edmund Outslay, Ronald Worsham, John Barrick, Connie Weaver
Posted Date:
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