Stilwater Bank & Trust Company has an average asset duration of 4.25 years and an average...

Stilwater Bank & Trust Company has an average asset duration of 4.25 years and an average liability duration of 2.75 years. Its liabilities amount to $580 million, while its assets total $620 million.

(1) What is the leverage-adjusted duration gap?

(2) Now suppose that interest rates were 6 percent and then rise to 8 percent. What will be the change in the value of the Stilwater Bank's net worth as a result of the increase in interest rates?

Expert Solution

jeff jeffy answered 1 year ago

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