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QUESTION
You calculate that the duration of the assets of your bank is 6.5 years and the duration of your liabilities is 4.5 years. You currently have $80...
You calculate that the duration of the assets of your bank is 6.5 years and the duration of your liabilities is 4.5 years. You currently have $80 million in liabilities and $5 million in equity. Calculate the new value of your assets if interest rates were to increase from 5% to 7%.
