What happens to its net worth (nw)

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Reference no: EM13156954

Your bank has the total asset of $120 million, and the total liability of $90 million. The duration of assets is 2.5, and the duration of liabilities is 1.3 years. The interest rate changes from 5% to 6%.

a. does the value of its assets change, and if so, how much?

b. does the value of its liabilities change, and if so, how much?

c. What is the duration gap?

d. What happens to its net worth (NW)?

Reference no: EM13156954

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