hard · FRM Part 2 Liquidity & Treasury Risk
A bank's balance sheet shows total assets of 100 bn with a modified duration of DA = 5.0and total liabilities of 90 bn with a modified duration of DL = 2.0. If interest rates are currently 4%, calculate the expected change in the Economic Value of Equity (EVE) for a parallel upward shift in interest rates of 100 basis points.
- -$4.808 bn
- -$2.885 bn
- -$3.200 bn
- -$3.077 bn
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