开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

matthew6448 · 2020年02月26日

问一道题：NO.PZ2019100901000020

  1. CFA III
  2. 机构IPS

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

这一题的考点在哪里

添加评论
1 个答案

发亮_品职助教 · 2020年02月27日

嗨，爱思考的PZer你好：


这道题是已知银行的杠杆率（equity capital ratio for financial assets of 9%）、资产的Duration、负债的Duration、负债利率变动对资产利率变动的敏感度（the yield on liabilities is expected to move by 85 bps for every 100 bps of yield change in its asset portfolio），然后让求Equity的Duration。

直接带公式即可，参考讲义169页：


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


  • 1

    回答

  • 0

    关注

  • 984

    浏览
相关问题

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

2023-12-21 06:15 2 · 回答

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，equity capitratio是什么

2022-11-26 22:36 1 · 回答

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 请问 “三角形”， “lta”，“标准差符号”都怎么打出来？

2022-04-28 18:33 3 · 回答

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 ration的问题，单位需要写Year吗？就像上面那一题一样。

2022-03-28 21:48 1 · 回答

NO.PZ2019100901000020 我看到考场要求说乘号必须用 “x”，不可以用 \"*\" ； 那除法呢？必须用  除号 还是用 “/” 就可以？ （品职这里除号都打不出来）

2021-11-18 14:14 1 · 回答