Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value = RM1.5 million Liability - Bond B Modified Duration = 3.1 years Value =...

Assume you have the following asset and liability in your Balance Sheet: Asset - Bond A Modified Duration = 2.6 years Value = RM1.5 million Liability - Bond B Modified Duration = 3.1 years Value = RM1.0 million

a. Calculate the duration gap.

b. What is the expected change in Net Worth if interest increases by 1%?

c. What should or could you to achieve immunised balance sheet?

Note: Please show all workings.