ILA LRM Fall 2014 #4(b)

Calculate the Maximum Duration Mismatch Allowed.



Change in Liability after -3% shock (i understand this)

=900*20*(0.03) = 540



Change asset after -3% shock (i understand this)

= 1200*D*(0.03)



36*D - 540 = 144 (!?!?! Where does 36 come from!!)



I understand what they are setting up, but I can't put together where the 36 comes from. Any ideas?



Thanks in advance!!

ILA LRM Fall 2014 #4(b)