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Ironlung · 2024年01月29日

答案

NO.PZ2023010409000025

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:


这题如果写9.88会给分么

1 个答案

lynn_品职助教 · 2024年01月29日

嗨,爱思考的PZer你好:


这题如果写9.88会给分么


同学在计算过程可以设置四位小数,这样最后四舍五入会更正确,我无法判断是否会给分,因为协会对计算题答案的要求是答案一定要准确。

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