bpdulog

deriv108 Wrote:
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> DD = A*Dur(Asset) - L*Dur(Liability)
> LADG = Dur(Asset) - (L/A)*Dur(Liability)

LADG is the duration of NET WORTH (Asset - Liability), so
change (%) in the MV of net worth for an I/R shock
= DOLLAR DURATION of NET WORTH
= LADG x NET WORTH of the bank x size of the I/R shock (%)

Please correct me if I am wrong.