LSY
2023-12-28 09:53這道題怎么做
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
黃石助教
2023-12-29 10:22
該回答已被題主采納
同學(xué)你好。
a. MV(Loan Investment) = $10m/1.115 + $10m/1.115^2 + $100m/1.115^2 = $97,448,169, 相比于$100,000,000下降$2,551,831；MV(Liability) = $90m*(1+8%)/1.095 = $88,767,123, 相較于$90,000,000下降 $1,232,877。
b. d(Equity) = d(Asset) - d(Liability) = -$2,551,831 – (-$1,232,877) = -$1,318,954。
c. D(Asset) = (10m/1.1)/100m*1 + (110m/1.1^2)/100m*2 = 1.9091 year; D(Liability) = 1 year。
d. d(Asset) = -1.9091 * $100m*1.5%/(1+10%) = -$2,603,300；d(Liability) = -1*90m *1.5%/(1+8%) = -$1,250,000；d(Equity) = d(Asset) - d(Liability) = -$1,353,000。
e. Duration gap = 1.9091 – (90m/100m)*1 = 1.0091
f. d(Equity) = -1.0091*$100m*1.5%/(1+10%) = -$1,376,045。
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