The Empirical Duration Model Report - Accounting and Finance Assignment Help

Assignment Task

You are working in a research team in a bank. You need to write a research report in a group on the sensitivity of the stock return of a bank to the change in the long-term interest rate using the Stone (1974) two-index model. The following model can be used to estimate the empirical duration (that is, the sensitivity of the stock return of the institution to the change in the long-term interest rate):

Required:

Write a research report based on the empirical duration model as given in Equation 1 with the following parts:

1. (a) Introduction (Hints: you should discuss why financial institutions are sensitive to change in interest rates and highlight the empirical literature on this topic)

2. (b) Methodology (Hints: you should discuss the model, sources of data etc.)

3. (c) Findings (Hints: you should discuss the results from the model)

4. (d) Conclusion (Hints: you should discuss the implications)

5. (e) References

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