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Zoe邹 · 2024年08月31日

这道题像这样直接给出计算结果，不展示计算过程，是否可以？

  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:


The modified duration of the equity capital after restructuring is 9.89years.

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1 个答案

lynn_品职助教 · 2024年09月01日

嗨，努力学习的PZer你好：


可以啊，现在不要求给公式了哦，公式编辑器都取消了。

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

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