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Question - The following is the balance sheet of a bank which uses Duration to manage its interest rate risk:
ASSETS
LIABS. & EQUITY
Total Liabilities
240
Total Assets
280
Total Capital
40
Assume the modified duration of the assets is 3.6 and the modified duration of the liabilities is 2.8.
a. Calculate the Duration GAP. (Use the modified duration quantities.)
b. What interest rate movement is the bank expecting? Explain.
c. Calculate the change in Net Worth (Δ NW) for a 0.75% drop in yields.
d. Recalculate the Δ NW for a 0.50% rise in yields.
You find a certain stock that had returns of 16 percent, -9%, 23%, and 24% for four of the last five years. The average return of the stock over this period was 14.40 percent.
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