A bank has $10 billion in assets and $9 billion in liabilities. The duration of its assets is 2.2 years. The duration of its liabilities is 1.5 years. Market interest rates rise from 5% to 6%. What is the gain or loss to the bank?© BrainMass Inc. brainmass.com June 4, 2020, 1:04 am ad1c9bdddf
The gain or loss of the bank will be calculated on basis on change in equity of the bank.
Duration Gap Analysis - It is undertaken to compares the sensitivity of a bank's total assets with the sensitivity of its total liabilities to see the impact of potential changes in interest rates on stockholders' ...
The solution calculate gain or loss to a bank for holding their assets and liabilities