Assume a bank has $200 million of assets with a duration of 2.5 and $190 million of liabilities with a duration of 1.05. If interest rates increase from 5 percent to 6 percent, the net worth of the bank falls by: A) $1 million. B) $2.4 million. C) $3.6 million. D) $4.8 million.

Intermediate Accounting: Reporting And Analysis
3rd Edition
ISBN:9781337788281
Author:James M. Wahlen, Jefferson P. Jones, Donald Pagach
Publisher:James M. Wahlen, Jefferson P. Jones, Donald Pagach
ChapterM: Time Value Of Money Module
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Assume a bank has $200 million of assets with a duration of 2.5 and $190 million of liabilities.....

Assume a bank has $200 million of
assets with a duration of 2.5 and $190
million of liabilities with a duration of
1.05. If interest rates increase from 5
percent to 6 percent, the net worth of
the bank falls by:
A) $1 million.
B) $2.4 million.
C) $3.6 million.
D) $4.8 million.
Transcribed Image Text:Assume a bank has $200 million of assets with a duration of 2.5 and $190 million of liabilities with a duration of 1.05. If interest rates increase from 5 percent to 6 percent, the net worth of the bank falls by: A) $1 million. B) $2.4 million. C) $3.6 million. D) $4.8 million.
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