In: Finance
A1 = Asset 1 etc. L1 = Liability 1 etc. A1 with value of $3
million and duration of 2years A2 with value of $2 million and
duration of 6 years A3 with value of $1 million and duration of 8
years The liability includes: L1 with value of $4 million and
duration of 20 years L2 with value of $2 million and duration of 30
years What is the liability value change in million dollars if
interest rate decreases by 1%?
Change in liability value is given as=4*20*1%+2*30*1%
=1.40 million
Thus change is 1.40 million