Assume you have the following asset and liability in your balance sheet Asset - Bond A Modified Duration = 1.5 years Value = RM1 million Liability - Bond B Modified Duration 2.6 years Value = RM2 million a. Calculate the duration gaps? b. What is the expected change in Net worth if interest increases by 1%? c. What should or could you to achieve immunised balance sheet?

Assume you have the following asset and liability in your balance sheet Asset - Bond A Modified Duration = 1.5 years Value = RM1 million Liability - Bond B Modified Duration 2.6 years Value = RM2 million a. Calculate the duration gaps? b. What is the expected change in Net worth if interest increases by 1%? c. What should or could you to achieve immunised balance sheet?

FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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