Approximate the change in equity using the duration-gap approach . Given: A = ...
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Approximate the change in equity using the duration-gap approach.
Given:
A = 100 L = 88 D D r = 5%
Use:
ΔE ≈ −DG × A × (Δr / (1 + r))
where
DG = DA− (L/A)DL
What is the approximate change in equity?
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