标题: IPS quiz bank [打印本页] 作者: Dapper425 时间: 2011-7-13 14:20 标题: IPS quiz bank
bank , asset duration 3 ,liability duration 5 , market value of asset 100 billion , market value of liability 90billion . what is its overall interest rate exposure its market value of net worth will increase or decrease if unexpected interest rate rise作者: ohai 时间: 2011-7-13 14:20
LADG = 3 - 90/100 * 5 = -1.5
so if rates increase - exposure will be -1.5% for each 1% change
rates fall - it will be +1.5% for each 1% change
CP作者: nannan66 时间: 2011-7-13 14:20
3 - (90/100 * 5) = -1.5
Effective rate is -1.5% to surplus or as a percentage 15% loss in equity.作者: canadiananalyst 时间: 2011-7-13 14:20
in my understanding net worth will increase if interest rates increase since duratiion liab > duration assets..
