financial risk management . Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value= RM1.5 million Liability - Bond B Modified Duration = 3.1 years Value= RM1.0 million     What is the expected change in Net Worth if interest increases by 1%

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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financial risk management

. Assume you have the following asset and liability in your Balance Sheet:
Asset - Bond A
Modified Duration = 2.6 years
Value= RM1.5 million
Liability - Bond B
Modified Duration = 3.1 years
Value= RM1.0 million

 
  What is the expected change in Net Worth if interest increases by 1% ?

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