March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
Content preview from Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
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Solution to Stage Fifteen
| 1. | 
Economic value = value of assets – value of debt = 100 – 95 = 5 |
| 2. | Change in economic value of equity:
In this exercise, an increase in interest rate of 2% would completely destroy the economic value of equity of the bank, meaning that the value of assets would no longer cover the value of deposits. |
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