Measuring Interest Rate Risk with Embedded Option Using HPL-MC Method in Fuzzy and Stochastic Environment

Table 6

Balance sheet and effective duration of a commercial bank.

Assets	Market value	Interest rate	Macaulay duration	Liabilities and shareholders’ equity	Market value	Interest rate	Macaulay duration
Cash	200	0	0	10-year deposit	293	0.06	7.8016
30-year FNMA	300	0.05888	6.3148	3-year deposit	907	0.05	8.1077
10-year loan	1000	0.1	6.7588	Total liabilities	1200		8.0332
Total	1500			Shareholders’ equity	300
				Total	1500