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coona · 2020年01月25日

问一道题:NO.PZ2019100901000020 [ CFA III ]

问题如下图:

请问如何提交答案呢?

3 个答案

林楠 · 2020年02月22日

答案为权益久期=9.3306

anyun01 · 2020年02月11日

equity duration 为9.33

发亮_品职助教 · 2020年02月03日

嗨,努力学习的PZer你好:


简答题目前还不能提交,这个建议就自己拿稿纸写一下,然后直接参考答案就行。


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NO.PZ2019100901000020 问题如下 MegaWorlBancorp hequity capitratio for financiassets of 9%. The mofieration of its assets is 2.0 anof its liabilities is 1.5. Over small changes, the yielon liabilities is expecteto move 85 bps for every 100 bps of yielchange in its asset portfolio.Compute the mofieration of the bank’s equity capital. Using Equation 8, A ÷ E = 1/0.09 = 11.11; (A ÷ E) –1 = 10.11; A = 2.0; * =1.5; anΔi ÷ Δy = 0.85.Therefore, the mofieration of shareholrs’ capitis: * = (11.11 × 2) – (10.11 × 1.50) × 0.85 = 9.33 如题目中的描述,the yielon liabilities is expecteto move 85 bps for every 100 bps of yielchange in its asset portfolio. 我的理解是,yielon asset 每变化 100bps, yielon liability 就变化 85bps, 为什么不是 Δi (yilechange in asset) ÷ Δy (yilechange in liability) = 100/85? 而是 85/100=0.85? 谢谢

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