The duration of a bank's assets is 2.4 years and the duration of its liabilities is 1.6
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Question:
The duration of a bank's assets is 2.4 years and the duration of its liabilities is 1.6 years. The bank has total equity of $90 million and total assets of $795 million. Interest rates are at 6.5 percent. If interest rates increase 100 basis points, Calculate the predicted dollar change in equity value .
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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