Suppose you are the manager of a bank which has $150 billion of assets have an average duration of four years and who has $135 billion of liabilities have an average duration of six years. Conduct a duration analysis for the bank, and show what will happen to the net worth of the bank if interest rates rise by 3 percentage points. What actions could you take to reduce the bank's interest-rate risk? Your answer
Suppose you are the manager of a bank which has $150 billion of assets have an average duration of four years and who has $135 billion of liabilities have an average duration of six years. Conduct a duration analysis for the bank, and show what will happen to the net worth of the bank if interest rates rise by 3 percentage points. What actions could you take to reduce the bank's interest-rate risk? Your answer
Economics (MindTap Course List)
13th Edition
ISBN:9781337617383
Author:Roger A. Arnold
Publisher:Roger A. Arnold
Chapter12: Money, Banking And The Financial System
Section: Chapter Questions
Problem 3WNG
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