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The average duration of the loans is 10 years. The average duration of the deposits is 3 years.
Consumer Loans $50m Deposits $235m
Commercial Loans $200m Equity $15m
Total assets $250m Total Liabilities and equity $250m
a) What is the leveraged-adjusted duration gap of the bank's portfolio?
b) What is the change in the value of the FI's equity for a 1 percent increase in interest rates from the current rates of 10 percent (i.e., ΔR = +0.01, and 1 + R = 1.10)?
c) What is the number of T-bond futures contracts necessary to hedge the balance sheet if the duration of the deliverable bonds is 9 years and the current price of the futures contract is $96 per $100 face value?
Show the derivative of an even function is an odd function and the derivative of an odd function is an even function. Verify this property using the trigonometric F-series.
An abrupt p-n junction has a doping concentration of 1015, 1016, or 1017 cm-3 on the lightly doped n-side and of 1019 cm-3 on the heavily doped p-side. Obtain series of curves of 1/C2 versus V, where V ranges from -4 to 0V in steps of 0.5V.
Consider a bank of three single-phase two-winding transformer whose high-voltage terminals are connected to a three-phase, 13.8 kV feeder. The low-voltage terminals are connected to a three-phase substation load rated 2.4 MVA and 2.3 kV.
figure 1 depicts a simplified scheme for cdma encoding and decoding. there are seven logical channelsall using dsss
A µ-law compression encoder has: Vi(max) = 8 V, vi(max) = 1V, µ = 255 Determine the output voltage for an input voltage of 2 V.
Evaluate the size of the solar PV system and Sizing a Solar PV System - What is their monthly average energy use?
List the basic principles or factors thatneed to be considered during design of a power distribution system. Describe how a shunt capacitor can be used to improve voltage regulation on a distribution network
Design and implement a vending machine (Moore FSM) with the following specification using VHDL. Accepts and returns only quarters Vends either Coke, or Pepsi, or a chocolate ba for a dollar Vends peanuts for 75 cents
Calculate the minimum value of Vd if the power flow through the converter is 5 kW (a) from the ac to the dc side and (b) from the dc to the ac side.
Draw the logic circuit to represent the Boolean expression using only NAND gates - Draw the logic circuit to represent the Boolean expression
Shown in Figure is the Darlington pair, which is equivalent to a single transistor, as indicated in the figure. Assuming that both Q1 and Q2 are operating in the active region, with |VBE| = 0.6 V, determine the value for VBE for the equivalent tra..
What closed-loop gain would you expect. If a dc voltage of +1.00 V is applied at the input, what output result. If the 10-k ohm resistors are said to be "1% resistors," having values somewhere in the range (1 ± 0.01) times the nominal value
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