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senyyf · 2025年07月07日

请问下这是哪个知识点

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:


这是哪个知识点?哪个视频啊?

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