Excel Spreadsheets

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

Publisher homepage

View screenshot

Download