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小汪汪要考出三级 · 2025年06月26日

讲义中关于maximise economic earnings的理解

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.

解释:

The modified duration of the bank’s equity capital after restructuring is 9.89 years:


想请教下老师讲义中这段话第二和第三个点,关于liability和capital stock对应的两种情形要如何理解?



1 个答案

Lucky_品职助教 · 2025年06月27日

嗨,从没放弃的小努力你好:


第二点 “the underwriting (retirement) of liabilities” 指的是通过发行负债来增加资金融入以提高杠杆,或通过赎回负债来减少债务规模以降低杠杆;

第三点 “the repurchase (issuance) of capital stock” 指的是通过回购股本减少权益资本来提升杠杆,或通过发行股本增加权益资本来降低杠杆。

这两种情形均是银行调整资本结构、实现杠杆水平变化的策略手段,前者围绕负债端的增减操作,后者聚焦于权益端的股本变动,以达到优化盈利或控制风险的目标。

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