medium · FRM Part 2 Liquidity & Treasury Risk
A bank's Economic Value of Equity (EVE) is exposed to interest rate risk. Assets are $1,000m with duration D_A = 5.0. Liabilities are $900m with duration D_L = 2.0. If interest rates increase by 100 basis points (0.01), estimate the change in the Economic Value of Equity (Δ E).
- -$50m
- +$32m
- -$32m
- -$30m
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