A bank's duration gap is 1.92, and the current interest rate used to value all of the bank's assets and liabilities is 5.2%. What is the change in the bank's net worth (in % of TA) if the interest rate changes to 8
A bank's duration gap is 1.92, and the current interest rate used to value all of the bank's assets and liabilities is 5.2%. What is the change in the bank's net worth (in % of TA) if the interest rate changes to 8
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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A bank's duration gap is 1.92, and the current interest rate used to value all of the bank's assets and liabilities is 5.2%. What is the change in the bank's net worth (in % of TA) if the interest rate changes to 8%?
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