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9. Steve's State Bank uses Duration GAP Management. This is its current Balance page 6...

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Accounting

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9. Steve's State Bank uses Duration GAP Management. This is its current Balance page 6 Sheet: ASSETS LIABILITIES and EQUITY Liabilities 1,104 Assets 1,200 Net Worth 96 The Duration of the assets is 2.7 (modified DUR is 2.5). The Duration of the Liabilities is 2.2 (modified DUR is 2.0. a. What is the bank's Duration GAP? (4 points) b. Given an anticipated rise in interest rates of 0.65% (65 basis points), what change in the bank's Net Worth should be expected? (6 points) c. What are the changes in the values of the bank's assets and its liabilities. (4 p

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