Bank

Executive SummaryAustralia assert?s engage group assess photo discount be calculated using two contrasting models which are the duration model and the PVBP model. Based on the entropy provided, the duration, modified duration and duration gap of its assets and liabilities are determined. The have-to doe with on the market value of equity due to a 1% increase in interest stations is as well assessed. This is thus compared with the PVBP model. An assessment of Australia Bank?s Value at happen of infection and Daily Earnings at risk of exposure was also carried taboo using one-year historical info from 3rd January 1995 to second January 1996. As managers of the bank, we have also assessed the interest rate risk for the bank if the central bank was dismission to increase the long cash market interest rate in the uprise future using futures contracts, forward rate agreements, options and swaps. Question 1a)The era and circumscribed age of the assets subject to inter est rate risk(see auxiliary 1 for details) age of AssetsDurationMarket ValueD*MVLoansFixed trapping 1.9076,543,000145,066,072.95Business Loans30 eld 0.0815,890,0001,318,870.0090 eld 0.2517,635,0004,408,750.00180 days 0.5024,932,00012,466,000.002 old age (semi annual) 1.9127,759,00053,003,000.235 days (semi annual) 4.3615,245,00066,448,905.1710 days (semi annual) 7.2312,596,00091,069,407.59Liquid AssetsGovernment Securities180 days 0.5029,310,00014,655,000.002 historic period (semi annual) 1.9134,567,00065,925,923.195 years (semi annual) 4.3835,000,000153,409,438.35Short Term SecuritiesOther Bank Bill 6 months 0.5026,626,00013,313,000.00316,103,000621,084,367.48Average Duration of AssetsDA = make out D*MV/Total Market Value =1.964816428Modified Duration of AssetsDmod = D/(1+r/f)LoansFixed Housing Loan 1.864826573Business Loans30 days 0.08296404990 days 0.249016385180 days 0.4920775512 years (semi annual) 1.8787747345 years (semi annual) 4.

28882647910 years (semi annual) 7.11406672Liquid AssetsGovernment Securities180 days 0.4920775512 years (semi annual) 1.8766038585 years (semi annual) 4.312827718Short Term SecuritiesOther Bank Bill 6 months 0.492077551b)The Duration and Modified Duration of the liabilities subject to interest rate risk(see vermiform extension 2 for details)Duration of LiabilitiesDurationMarket ValueD*MVLong Term Liabilities2 years Semi-annual 1.9635,241,00068994093.685 years Semi-annual4.3922,235,00097584166.3710 years Semi-annual 7.8410,716,00084064168.78Current LiabilitiesShort Term Deposits1 month (30 days)0.0880,523,0006683409.003 months (90 days)0.2586,641,00021660250.006 months (180 days)0.5082,987,00041493500.00318,343,000320479587.83Average Duration of L iabilitiesDL... If you want to get a full essay, order it on our website: OrderEssay.net

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