equity=asset-liability=1400
Da=4.1
Dl=3
Leverage−adjusted duration gap=[DA −DLk]=4.1-3*(1000/2400)=2.85 years
ΔE=−[DA −DLk]*A*DR/(1+R)=-2.85*2400*0.0030=-20.52
The MV of equity will decrease 20.52.
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