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hyi725 · 2023年08月09日

equity capture ratio

  1. CFA III
  2. 机构IPS

NO.PZ2019100901000018

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:


A/E 叫什么呢

有时候分不清需不需要 1/0.1还是直接用0.1

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已采纳答案

lynn_品职助教 · 2023年08月10日

嗨，努力学习的PZer你好：


A/E是权益乘数；D/E是财务杠杆比率


有时候分不清需不需要 1/0.1还是直接用0.1


把公式列出来看，看分母是什么，有意义的。


Asset 价值波动幅度= Debt 价值波动幅度× Debt 权重 + Equity 价值波动幅度 × Equity权重


当利率变动1单位时，Debt价值波动幅度其实就是Debt duration，Equity的价值波动幅度其实就是Equity duration，Asset 价值波动幅度其实就是Asset duration，于是有：


Asset Duration= Debt duration × Debt 权重 + Equity duration × Equity权重


Debt的权重 = Debt / Asset，Equity的权重=Equity/Asset；带入之后，上面这个公式就变成了：




Asset duration = Debt duration × （Debt / Aset） + Equity duration × （Equity/Asset） = Debt duration × D/A + Equity duration × E/A

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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