a. If the duration of assets is 1.16 and duration of liabilities
is 2.77, how much change in net worth will take place because of a
fall in interest rate from 10% to 5%? Assume the assets equal to
$100m and liabilities equal to $90m.
b. Why would a bank decline a loan even if the borrower is
willing to pay a high interest rate?
a. If the duration of assets is 1.16 and duration of liabilities is 2.77, how much change in net worth will take place b
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answerhappygod
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a. If the duration of assets is 1.16 and duration of liabilities is 2.77, how much change in net worth will take place b
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