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

Table 4

Balance sheet 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	200	0.06	7.8016
30-year FNMA	300	0.05888	9.6022	3-year deposit	1000	0.05	8.1077
10-year loan	1000	0.1	6.7588	Total liabilities	1200		8.0566
Total	1500		6.4264	Shareholders’ equity	300
				Total	1500