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雨洁🦄 · 2024年08月05日

这道题考的知识点在哪里?

NO.PZ2023010409000026

问题如下:

Foresight International Assurance is an international multiline insurance conglomerate. Under its overall strategic financial plan, it computes the annualized standard deviation of returns on investment assets as 5.0% and on liabilities as 2.5%. The bulk of its liabilities are constituted by the net present value of expected claims payouts. The correlation between asset and liability returns is therefore a very low 0.25. Foresight’s common equity to financial assets ratio is 20.0%.

What is the standard deviation of changes in the value of Foresight’s shareholder capitalization?

解释:

We use Equation 9 recognizing that A ÷ E = 1/0.20 = 5; (A ÷ E) –1 = 4;

the standard deviation of asset returns;

the standard deviation of changes in liability values;

and the correlation between asset and liability value changes (ρ)= 0.25.

the variance of shareholders’ capital value changes:

The standard deviation of shareholder capital valuation change is the square root of the variance.


忘记了考的知识点,求ppt

1 个答案

lynn_品职助教 · 2024年08月07日

嗨,爱思考的PZer你好:


这是原版书正文的例题8,因为这个计算是考纲要求的,并且课后题太少了,就把正文例题放入题库了:


题目让我们计算:standard deviation of changes in the value;


他说的是Changes in the value的标准差,让我们计算Value改变量的标准差,所以我们需要先求Equity value的改变量, 即,∆E/E,然后再求标准差 σ∆E/E。

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