Calculate the duration gap

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Reference no: EM134025422

Problem

A bank manager wants to know what happens when interest rates rise from 10% to 11% when the total asset Value is $100 million with a duration of 2.70 years and the total liability value is $95 million with a duration of 1.03 years.

1. Calculate the duration gap. Get the instant assignment help.
2. What will happen to the net worth of the bank if the expected change in interest rates occurs?

Reference no: EM134025422

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