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Suppose Bank​ Z's total asset value is $160 million and its total liability value is $125...

Suppose Bank​ Z's total asset value is $160 million and its total liability value is $125 million. The bank manager wants to know what happens when interest rates rise from 10​% to 11​%. If the average duration of the assets is 3.05 years and the average duration of liabilities is 1.50 years, the change in the market value of the assets is equal to ?​%, and the change in the market value of liabilities will be equal to ?​%. (Round your answers to two decimal places.​)

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Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

jeff jeffy answered 1 year ago
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