hard · FRM Part 2 Liquidity & Treasury Risk
A bank’s balance sheet shows Assets (A) of $100 bn with duration D_A = 4.5 and Liabilities (L) of $90 bn with duration D_L = 2.0. If interest rates rise by 100 basis points, calculate the change in the Economic Value of Equity (EVE).
- Gain of $2.7 bn
- Loss of $2.7 bn
- Loss of $4.5 bn
- Loss of $0.1 bn
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