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开泰-王飞 · 2022年10月13日

公式是怎么输进去的？

  1. CFA III
  2. 机构IPS

NO.PZ2019100901000018

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:


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1 个答案

lynn_品职助教 · 2022年10月14日

嗨，从没放弃的小努力你好：


协会机考系统有正式考试时使用的公式编辑器，品职也在模拟环境中提供了这个编辑器以供同学练手，直播中也有相关讲解，同学可以问辅导员。

考试的时候时间比较紧，我们最重要的还是做出正确答案，编辑公式是锦上添花的步骤。

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