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MANAGING INTEREST RATE RISK: DURATION GAP AND MARKET VALUE OF EQUITY - page 27 / 39

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Market value of equity sensitivity analysis

MVE sensitivity analysis effectively involves the same steps as earnings sensitivity analysis.

In MVA analysis, however, the bank focuses on:

the relative durations of assets and liabilities,

how much the durations change in different interest rate environments, and

what happens to the market value of equity across different rate environments.

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