You calculate that the duration of the assets of your bank is 6.5 years and the duration
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Question:
You calculate that the duration of the assets of your bank is 6.5 years and the duration of your liabilities is 4.5 years. You currently have $80 million in liabilities and $5 million in equity. Calculate the new value of your assets if interest rates were to increase from 5% to 7%.
95.52
74.48
74,476,190.48
95,523,809.52
None of the above
Related Book For
Statistics The Art and Science of Learning from Data
ISBN: 978-0321997838
4th edition
Authors: Alan Agresti, Christine A. Franklin, Bernhard Klingenberg
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