NO.PZ2024042601000019
问题如下：
JQK Bank has a loan with a value of $800,000. There is an associated commission of 0.15%, the spread between the loan’s interest rate and the bank’s cost of capital is 0.45%, the estimate of operating costs is 0.3%, and their estimated tax rate is 15%. This loan is expected to be a performing loan with no risk of default. Additionally, this loan has a duration of 3.15 and an interest rate of 9.5%. Interest rates are expected to increase by 1.25%. What is this loan’s risk-adjusted return on capital (RAROC)?
选项：
A.4.92%
6.01%.
7.09%.
8.11%.
解释：
The estimated loan revenue is $2,040 and the estimated capital at risk is $28,767.12. This results in a RAROC of 7.09%. As long as the bank’s own interest rate is less than this value, then the loan will be profitable.
Loan revenue=$800,000(0.0045+0.0015-0-0.003)(1-0.15)=$2,040
ΔL=-$800,000(3.15)(0.0125/1.095)=-$28,767.12
RAROC=$2,040/$28,767.12=7.09%
如何判断题目中给定的duration是麦考利久期还是修正久期？谢谢！
