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Ronnie YIN · 2020年01月12日

问一道题：NO.PZ2019100901000018

  1. CFA III
  2. 机构IPS

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:


这答案的公式与讲义不一样？

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1 个答案

发亮_品职助教 · 2020年01月12日

嗨，从没放弃的小努力你好：


一样的，在这里：

题干给了：Equity capitalization ratio = 10% ， 所以A/E=1/10%=10

 modified duration of liabilities = 1.90；modified duration of assets = 2.10

△i/△y = 65 bps for every 100 bps of yield change

直接带数据即可。


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