Given the following information with respect or to the XYZ Bank: D A x 3 years, D L x 5 years, A s $100 million is , E s $10 millionorn, we have a...
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Given the following information with respect or toALs $10 millionorn, we flat yield to fall from 10 to 9% the

 the XYZ Bank: D x 3 years, D x 5 years, A s $100 million is, Ehave a   curve that is expected   in next 6 meses. Put options  and  Call options  are available  with delta's   - 0.5  and  + 0.5,respectively. The  durationof the  bonus underlying these options  - with aFace-valueof  $100,000 -is8,82 years old, and  the  bonus is currently traded at  $97,000. They can assume that the base risk is practically non-existing.

 

If interest rates actually fall from  10  to  9%: What will be the effect on Capital (Equity, i.e., ∆E)?

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