NO.PZ2023100905000035
问题如下：
The treasurer of a US bank isconcerned about potential future interest rate increases by the Federal Reserve(FED) and their impact on the bank’s net worth. After reviewing the bank’sstress testing framework, the treasurer asks a manager to consider including anadditional scenario in which the FED increases interest rates by 200 bps and toperform duration analysis on the scenario. The manager gathers information onthe bank’s balance sheet and the duration of each asset and liability item asprovided below:
Assuming the currentlevel of interest rates is 2%, which of the following is a correct statementfor the manager to make regarding this stress scenario?
选项：
A.
A 200-bps increase in interest rates will cause the bank’s net worthto decrease by USD 27.4 million.
B.
A 200-bps increase in interest rates will cause the bank’s net worth to decrease by USD 52.4 million.
C.
Compared to the bank’s other balance sheet items, interest-bearing deposits will experience the smallest change in value given a 200-bps increase in interest rates.
D.
In this scenario, utilizing USD 200 million of cash to first pay off USD 200 million of other borrowings in response to a 200-bps increase in interest rates will cause the value of the bank’s net worth to increase.
解释：
A is correct.
The duration of thebank’s assets and liabilities are as follows:
D Assets: (400 x 0 +400 x 1 + 600 x 5 + 1100 x 3)/2500 = 2.68
D Liabilities: (1000x 0.5 + 1200 x 4)/2200 = 2.41
And the effect of a200 bps increase in interest rates on the bank’s net worth can be calculated asfollows:
-(2.68 x 0.02 x2500)/1.02 – (-2.41 x 0.02 x 2200)/1.02 = -131.37 + 103.96 = -27.41
麻烦老师解答下这道题，没太看懂什么意思
