What happens to the market value of your bank equity

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You are the interest rate risk officer for a bank. The bank has a $100 million in assets and an equity to assets ratio of 50%. Your team reports to you that the duration of the bank's asset portfolio is 5 years, and the duration of the bank's liabilities is 2 years. What happens to the market value of your bank's equity if interestrates increase 200 basis points? Please show work, will rate high.

Reference no: EM13295742

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