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贝就要贝到底 · 2020年04月27日

问一道题：NO.PZ2019100901000018

  1. CFA III
  2. 机构IPS

问题如下：

Meura Bancorp, a US bank, has an equity capital ratio for financial assets of 12%. Meura’s strategic plans include the incorporation of additional debt in order to leverage earnings since the current capital structure is relatively conservative. The bank plans to restructure the balance sheet so that the equity capitalization ratio drops to 10% and the modified duration of liabilities is 1.90. The bank also plans to rebalance its investment portfolio to achieve a modified duration of assets of 2.10. Given small changes in interest rates, the yield on liabilities is expected to move by 65 bps for every 100 bps of yield change in the asset portfolio.

Calculate the modified duration of the bank’s equity capital after restructuring. Show your calculations.

选项：

解释：

The modified duration of the bank’s equity capital after restructuring is 9.89 years:


题目中equity capital ratio for financial assets of 12%，哪里来的10%？

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1 个答案

发亮_品职助教 · 2020年04月27日

嗨，爱思考的PZer你好：


"题目中equity capital ratio for financial assets of 12%，哪里来的10%？"

他这里是这样，12%的Ratio是Current ratio，然后公司想对资本结构进行Restruture, 注意看这句，他说要把Equity capitalization ratio降到10%：

The bank plans to restructure the balance sheet so that the equity capitalization ratio drops to 10%

然后题目问经过Restructure之后的Equity beta是多少，所以要用10%的比例来算。

另外注意，题干条件里面的Asset duration以及Liability duration都是Restruturing之后的数据，并不是现在的数据。

 


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