NO.PZ2019100901000020
问题如下:
MegaWorld Bancorp has an equity capital ratio for financial assets of 9%. The modified duration of its assets is 2.0 and of its liabilities is 1.5. Over small changes, the yield on liabilities is expected to move by 85 bps for every 100 bps of yield change in its asset portfolio.
Compute the modified duration of the bank’s equity capital.
选项:
解释:
Using Equation 8, A ÷ E = 1/0.09 = 11.11; (A ÷ E) –1 = 10.11; D*A = 2.0; DL* =
1.5; and Δi ÷ Δy = 0.85.
Therefore, the modified duration of shareholders’ capital is:
DE* = (11.11 × 2) – (10.11 × 1.50) × 0.85 = 9.33
如题,equity capital ratio是什么