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

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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Question

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

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