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A bank has $500 million in assets with a modified duration of 7 and $400 million in liabilities with a modified duration of 5. Accounting only for duration effects, the impact of a 50-basis-point parallel upward shift in the yield curve on the bank’s equity value is closest to a: A. $100 million decrease. B. $75 million increase. C. $7.5 million increase. D. $7.5 million decrease. |