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Amex bank reports an average asset duration of 7 years and an average liability duration of...

Amex bank reports an average asset duration of 7 years and an average liability duration of 4 years. The bank recorded total assets of $1.8 billion and total liabilities of $1.5 billion. If the interest rates began at 6 percent and then suddenly dropped at 5 percent, what change will occur in the value of Amex’s net worth? Logically explain your result in detail.

Now, suppose the interest rate is 6 percent and moves up by 1 percent; keeping everything else constant, how would the net worth change?

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