NO.PZ2023010409000025
问题如下:
Meura Bancorp, a US bank, has
an equity capital ratio for financial assets of 12%. Meura’s strategic plans
include the incorporation of additional debt in order to leverage earnings
since the current capital structure is relatively conservative. The bank plans
to restructure the balance sheet so that the equity capitalization ratio drops
to 10% and the modified duration of liabilities is 1.90. The bank also plans to
rebalance its investment portfolio to achieve a modified duration of assets of
2.10. Given small changes in interest rates, the yield on liabilities is
expected to move by 65 bps for every 100 bps of yield change in the asset
portfolio.
Calculate the modified duration of the bank’s equity capital after restructuring. Show your calculations.
选项:
解释:
The modified duration of the bank’s equity capital after restructuring is 9.89 years:
这题如果写9.88会给分么