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A bank has $100 million in assets with modified duration of 8.5, and $90 million of liabilities with modified duration of 6.5. Accounting only for duration effects, a 50 basis point parallel downward shift would impact the bank’s equity position by an amount closest to a: A. $10 million increase in equity. B. $100 million decrease in equity. C. $90 million increase in equity. D. $1.325 million increase in equity. |