X hits on this document

Powerpoint document

MANAGING INTEREST RATE RISK: DURATION GAP AND MARKET VALUE OF EQUITY - page 33 / 39

79 views

0 shares

0 downloads

0 comments

33 / 39

Effective “duration” of equity

By definition, duration measures the percentage change in market value for a given change in interest rates

Hence, a bank’s duration of equity measure the percentage change in MVE that will occur with a 1 percent change in rates:

Effective duration of equity 9.9 yrs. = 8,200 / 82,563

Document info
Document views79
Page views79
Page last viewedSun Dec 04 04:12:10 UTC 2016
Pages39
Paragraphs367
Words2250

Comments