Term Structure Modeling and Balance Sheet Simulation
In this model spreadsheet, forward term structure of interest rates is modeled. Then, using the model predicted forward yield curves, balance sheet of a hypothetical bank is simulated by employing the duration measure. This balance sheet simulation shows the possible variations in the shareholders’ wealth (assets minus liabilities, sometimes called “economic value”) caused by the mismatch (gap) on the balance sheet.
- Platform: Windows PC
- Excel Version: Excel 97 - 2003
- License: Freeware
- Filesize: 3995 Kb
- Macro Enabled: Yes
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