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 […]