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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