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mino酱是个小破货 · 2025年01月30日

烦请老师帮忙看下是否可以这么回答，谢谢老师

  1. CFA III
  2. 机构IPS

NO.PZ2019100901000020

问题如下：

MegaWorld Bancorp has an equity capital ratio for financial assets of 9%. The modified duration of its assets is 2.0 and of its liabilities is 1.5. Over small changes, the yield on liabilities is expected to move by 85 bps for every 100 bps of yield change in its asset portfolio.
Compute the modified duration of the bank’s equity capital.

选项：

解释：

Using Equation 8, A ÷ E = 1/0.09 = 11.11; (A ÷ E) –1 = 10.11; D*A = 2.0; DL* =
1.5; and Δi ÷ Δy = 0.85.
Therefore, the modified duration of shareholders’ capital is:

DE* = (11.11 × 2) – (10.11 × 1.50) × 0.85 = 9.33

leverage ratio=1/ 9%=11.11

the modified duration of the bank’s equity capital= 11.11 *2 - (11.11-1) * 1.5 *0.85=9.33

the modified duration of the bank’s equity capital is 9.33 years

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1 个答案

伯恩_品职助教 · 2025年01月30日

嗨，从没放弃的小努力你好：


可以的，重点是结果，不是过程。现在批改试卷重点 是结果

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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