Question: Assume a bank has $200 million of assets with a duration of 2.5, and $190 million of liabilities with a duration of 1.05. If interest rates increase from 5 percent to 6 percent, the net worth of the bank falls by
A) $1 million.
B) $2.4 million.
C) $3.6 million.
D) $4.8 million.
The answer is D. Can you explain why?