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Anonymous

Asked: December 14, 20232023-12-14T19:22:06-05:00 2023-12-14T19:22:06-05:00In: Uni

2. Bank Duration GAP: Impact on Bank Capital: Macro Approach

Bank duration GAP: State Bank’s balance sheet is listed below. Market yields and durations (in years) are in parenthesis, and amounts are in millions.

1. What is State’s Bank’s duration gap?
2. Use these duration values to calculate the expected change in the value of the assets and liabilities of State Bank for the predicted increase of 0.75 percent in interest rates. What would be the impact on Bank Capital?.
3. Use these duration values to calculate the expected change in the value of the assets and liabilities of State Bank for the predicted decrease of 0.5 percent in interest rates What would be the impact on Bank Capital?.