Business, 07.11.2019 22:31 Vangnunu

Suppose that you are the manager of a bank whose $100 billion of assets have an average duration of four years and whose $90 billion of liabilities have an average duration of six years. conduct a duration analysis for the bank, and show what will happen to the net worth of the bank if interest rates rise by 2 percentage points. what actions could you take to reduce the bank’s interest rate risk?

b. suppose that you are the manger of a bank that has $15 million of fixed-rate assets, $30 million of rate-sensitive assets, $25 million of fixed-rate liabilities, and $20 million of rate-sensitive liabilities. conduct a gap analysis for the bank, and show what will happen to bank profits if interest rates rise by 5 percentage points. what actions could you take to reduce the bank’s interest-rate risk?

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Suppose that you are the manager of a bank whose $100 billion of assets have an average duration of...