part A and B of the project are already solved and ill upload the solution . part C is the remaining and it depend on the answers of part A and B. The writer might need to double check with the answers of part A and B in order to complete part c correctly. Part C (worth 50% of the overall assignment mark) i. Explain what Bank B can do to immunise its portfolio (i.e. what changes should be made to the balance sheet described in Table B so that DGAP is approximately equal to zero). ii. Based on your explanation in C.i, calculate the new net interest income and net interest margin based on this strategy to immunise the portfolio of Bank B. Explain the impact of this immunisation strategy on net interest income and net interest margin. Suggested literature to aid your discussion (you should also find additional literature to support your answers). Chaudron, R. (2018). Bank’s interest rate risk and profitability in a prolonged environment of low interest rates. Journal of Banking and Finance. 89, 94-104. Frame, S. and White, L. (2005). Fussing and fuming over Fannie and Freddie; How much smoke, how much fire? Journal of Economic Perspective. 19, 159-184. Gerlach, J., Mora, N. and Uysal, P. (2018). Bank funding costs in a rising interest rate environment. Journal of Banking and Finance. 87, 164-186. Oberoi, J. (2018). Interest rate risk management and the mix of fixed and floating rate debt. Journal of Banking and Finance. 86, 70-86. Timothy, G. (2004). Managing interest rate risk in a rising rate environment. RMA Journal, Risk Management Association (RMA), November 2004.

## "Looking for a Similar Assignment? Get Expert Help at an Amazing Discount!"