... p50, p75 denote the 25th, 50th, 75th percentile,respectively. -3 .5 -3 -2 .5 -2 -1 .5 -1 -0 .500.51200 5-0 9 200 6-0 9 200 7-0 9 200 8-0 9 200 9-0 9Cumulative change in exposure (percentage points)00.511.522.533.54Benchmark ... period 199 0-2 008, the average one-year and ten-year interest rates were 4.52% and 5.55%,respectively. To calculate the durations, we use the corresponding continuously compounded interest rates.15ReferencesBallester, ... 48, 817–838.Yourougou, P. (1990). Interest- rate risk and the pricing of depository financial intermedi-ary common stock. Journal of Banking and Finance 14, 803–820.17Tables and FiguresVariable...