4 , ( 10 points) Suppose a bank has the following balance sheet . Assets Liabilities Overnight Loans ( D* = 0 ) $ 300 Long Term CDS $800 3 – Year

4, (10 points) Suppose a bank has the following balance sheet. Assets Liabilities Overnight Loans (D ∗=0) $300 Long Term CDs (D ∗=8 periods) $800 3-Year Treasuries (D ∗=2.7 periods) $300 5-Year Loans (D ∗= 4.5 periods) $300 Net Worth $100 A) What is the Modified Duration of Net Worth? What is the dollar amount change in net worth using duration approximation if per period interest rate goes up by 1%? B) How would you duration-hedge this balance sheet with Treasury bond futures that are currently priced at $96 (per $100 in value of the underlying), assuming that the underlying bond has a modified duration of 3 periods? (I want to know the size of the position (

4 , ( 10 points) Suppose a bank has the following balance sheet .AssetsLiabilitiesOvernight Loans ( D* = 0 )$ 300Long Term CDS$8003 – Year Treasuries ( D* = 2. 7 periods )$300( D* = 8 periods )5 – Year Loans ( D* = 4.5 periods )$300Net Worth$100A ) What is the Modified Duration of Net Worth ? What is the dollar amount change in networth using duration approximation if per period interest rate goes up by 1 %/ ?B) How would you duration- hedge this balance sheet with Treasury bond futures that are*currently priced at $96 ( per $1DO in value of the underlying ) , assuming that theunderlying bond has a modified duration of 3 periods ? ( I want to know the size of theposition ( N F X PF ) , and also whether you long or short the futures . )( ) How would you duration- hedge this balance sheet with an interest rate swap with afixed- rate side having a modified duration of 4 periods and a floating – rate side having*a modified duration of I period ? ( I want to know the notional principal ( NP ) of theposition , and also whether you receive the fixed rate or the floating rate . )

Show more

Calculate Your Essay Price
(550 words)

Approximate price: $22

Calculate the price of your order

550 words
We'll send you the first draft for approval by September 11, 2018 at 10:52 AM
Total price:
$26
The price is based on these factors:
Academic level
Number of pages
Urgency
Basic features
  • Free title page and bibliography
  • Unlimited revisions
  • Plagiarism-free guarantee
  • Money-back guarantee
  • 24/7 support
On-demand options
  • Writer’s samples
  • Part-by-part delivery
  • Overnight delivery
  • Copies of used sources
  • Expert Proofreading
Paper format
  • 275 words per page
  • 12 pt Arial/Times New Roman
  • Double line spacing
  • Any citation style (APA, MLA, Chicago/Turabian, Harvard)

Our guarantees

Delivering a high-quality product at a reasonable price is not enough anymore.
That’s why we have developed 5 beneficial guarantees that will make your experience with our service enjoyable, easy, and safe.

Money-back guarantee

You have to be 100% sure of the quality of your product to give a money-back guarantee. This describes us perfectly. Make sure that this guarantee is totally transparent.

Read more

Zero-plagiarism guarantee

Each paper is composed from scratch, according to your instructions. It is then checked by our plagiarism-detection software. There is no gap where plagiarism could squeeze in.

Read more

Free-revision policy

Thanks to our free revisions, there is no way for you to be unsatisfied. We will work on your paper until you are completely happy with the result.

Read more

Privacy policy

Your email is safe, as we store it according to international data protection rules. Your bank details are secure, as we use only reliable payment systems.

Read more

Fair-cooperation guarantee

By sending us your money, you buy the service we provide. Check out our terms and conditions if you prefer business talks to be laid out in official language.

Read more