What Is the Effect of a 100 Basis Point Increase

question 37

Multiple Choice

What is the effect of a 100 basis point increase in interest rates on the market value of equity of the FI? Use the duration approximation relationship.Assume r = 4 percent.

• A)-27.56 million.
• B)-28.01 million.
• C)-29.85 million.
• D)-31.06 million.
• E)-33.76 million.
• [Refer to: 9-121]

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Definitions:

Spearman Rank-Correlation

A nonparametric measure of correlation that assesses how well the relationship between two variables can be described using a monotonic function, based on ranked values.

Linear Way

Refers to a direct and straightforward approach or method that progresses continuously from one point to the next.

Spearman Correlation

A non-parametric measure of rank correlation that assesses how well the relationship between two variables can be described using a monotonic function.

Data Ranks

A method of placing data elements in ascending or descending order, based on their value or position in a distribution.