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Aaabby · 2020年07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:


请问modified duration 的单位是“年”（year）？

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1 个答案

发亮_品职助教 · 2020年07月27日

嗨，从没放弃的小努力你好：


“请问modified duration 的单位是“年”（year）？”

表示利率变动1单位时，债券价格变动多少幅度，这种概念的Duration是没有单位的。就理解成弹性的概念。

所以像Modified duration/Effective duration这种，是没有单位的；原版书这里用的不够规范。

关于Duration的用法，其实很多地方（包括财经媒体、实务中）、以及包括一些教科书中，Duration会出现使用不规范的情况，有些地方会用“Maturity”、“Macaulay duration”来充当我们这里"Modified duration"的意思，有些地方会给Modified duration后面加years单位等等，这些都是不规范的用法。

所以，可能会出现Modified duration后面跟Years。

我们考试就严格按照要求，需要使用正确的。


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


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