Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value= RM1.5 million AAFAR
Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value= RM1.5 million AAFAR
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
Problem 1Q
Related questions
Question
Assume you have the following asset and liability in your
Asset - Bond A
Modified Duration = 2.6 years
Value= RM1.5 million
AAFAR
Liability - Bond B
Modified Duration = 3.1 years
Value
= RM1.0 million
a. Calculate the duration gap.
b. What is the expected change in Net Worth if interest increases by 1%?
attachment.
calculation step by step
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