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Gogo冲 · 2022年11月26日

equity capital ratio怎么算

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 Δ
i ÷ 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

1 个答案

lynn_品职助教 · 2022年11月28日

嗨,爱思考的PZer你好:


如题,equity capital ratio是什么


equity capital ratio是二级财务里的一个考点,就是E/A,一般是要资本总额除以风险加权资产来计算的。


这道题是已知银行的杠杆率(equity capital ratio for financial assets of 9%)、资产的Duration、负债的Duration、负债利率变动对资产利率变动的敏感度(the yield on liabilities is expected to move by 85 bps for every 100 bps of yield change in its asset portfolio),然后让求Equity的Duration。


直接带公式即可,参考讲义169页:

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NO.PZ2019100901000020 问题如下 MegaWorlBancorp hequity capitratio for financiassets of 9%. The mofieration of its assets is 2.0 anof its liabilities is 1.5. Over small changes, the yielon liabilities is expecteto move 85 bps for every 100 bps of yielchange in its asset portfolio.Compute the mofieration of the bank’s equity capital. Using Equation 8, A ÷ E = 1/0.09 = 11.11; (A ÷ E) –1 = 10.11; A = 2.0; * =1.5; anΔi ÷ Δy = 0.85.Therefore, the mofieration of shareholrs’ capitis: * = (11.11 × 2) – (10.11 × 1.50) × 0.85 = 9.33 请问 “三角形”, “lta”,“标准差符号”都怎么打出来?

2022-04-28 18:33 3 · 回答

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