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梦梦 · 2025年05月27日

这么理解对吗

NO.PZ2023100905000035

问题如下:

The treasurer of a US bank is concerned about potential future interest rate increases by the Federal Reserve (FED) and their impact on the bank’s net worth. After reviewing the bank’s stress testing framework, the treasurer asks a manager to consider including an additional scenario in which the FED increases interest rates by 200 bps and to perform duration analysis on the scenario. The manager gathers information on the bank’s balance sheet and the duration of each asset and liability item as provided below:

Assuming the current level of interest rates is 2%, which of the following is a correct statement for the manager to make regarding this stress scenario?

选项:

A.

A 200-bps increase in interest rates will cause the bank’s net worth to decrease by USD 27.4 million.

B.

A 200-bps increase in interest rates will cause the bank’s net worth to decrease by USD 52.4 million.

C.

Compared to the bank’s other balance sheet items, interest-bearing deposits will experience the smallest change in value given a 200-bps increase in interest rates.

D.

In this scenario, utilizing USD 200 million of cash to first pay off USD 200 million of other borrowings in response to a 200-bps increase in interest rates will cause the value of the bank’s net worth to increase.

解释:

A is correct.

The duration of the bank’s assets and liabilities are as follows:

D Assets: (400 x 0 + 400 x 1 + 600 x 5 + 1100 x 3)/2500 = 2.68

D Liabilities: (1000 x 0.5 + 1200 x 4)/2200 = 2.41

And the effect of a 200 bps increase in interest rates on the bank’s net worth can be calculated as follows:

-(2.68 x 0.02 x 2500)/1.02 – (-2.41 x 0.02 x 2200)/1.02 = -131.37 + 103.96 = -27.41

老师好,D选项,经典题视频提到,r上升L价值下降,但是A价值也下降了,是说之所以用cash去还other borrowing不合适,根源是在于other borrowing的D远比cash大对吧?

换句话说如果用一个D更大的资产去换other borrowing,比如D为10,那就是合适的了,NW就会减少的少些

1 个答案

李坏_品职助教 · 2025年05月27日

嗨,从没放弃的小努力你好:


对的。other borrowing是久期大于cash,那么cash去还borrowing不合适。


用D更大的资产去还,是可以的,但是那只能做资产负债的置换了,因为久期大的资产一般是无法直接作为现金去偿债的。

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NO.PZ2023100905000035问题如下 The treasurer of a US bank isconcerneabout potentifuture interest rate increases the FerReserve(FE antheir impaon the bank’s net worth. After reviewing the bank’sstress testing framework, the treasurer asks a manager to consir inclung anaitionscenario in whithe FEincreases interest rates 200 bps antoperform ration analysis on the scenario. The manager gathers information onthe bank’s balansheet anthe ration of eaasset anliability item asprovibelow:Assuming the currentlevel of interest rates is 2%, whiof the following is a correstatementfor the manager to make regarng this stress scenario? A.A 200-bps increase in interest rates will cause the bank’s net worthto crease US27.4 million.B.A 200-bps increase in interest rates will cause the bank’s net worth to crease US52.4 million.C.Compareto the bank’s other balansheet items, interest-bearing posits will experienthe smallest change in value given a 200-bps increase in interest rates.In this scenario, utilizing US200 million of cash to first poff US200 million of other borrowings in response to a 200-bps increase in interest rates will cause the value of the bank’s net worth to increase. A is correct.The ration of thebank’s assets anliabilities are follows:Assets: (400 x 0 +400 x 1 + 600 x 5 + 1100 x 3)/2500 = 2.68Liabilities: (1000x 0.5 + 1200 x 4)/2200 = 2.41Anthe effeof a200 bps increase in interest rates on the bank’s net worth ccalculateasfollows:-(2.68 x 0.02 x2500)/1.02 – (-2.41 x 0.02 x 2200)/1.02 = -131.37 + 103.96 = -27.41 麻烦老师解答下这道题,没太看懂什么意思

2024-10-27 11:28 1 · 回答

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2024-10-26 18:36 2 · 回答