题目
A bank has $500 million in assets with a modified duration of 7 and $400 million in liabilities with a modified duration of 5. Accounting only for duration effects, the impact of a 50-basis-point parallel upward shift in the yield curve on the bank’s equity value is closest to a:
选项
A.$7.5 million decrease
B.$7.5 million increase
C.$15 million decrease
D.$15 million increase
答案
A
解析
Answer: AThe change in asset value would be a decrease of [($500,000,000)*(7)*(0.005)] = $17,500,000, whereas the change in liability value would be a decrease of [($400,000,000)*(5)*(0.005)] = $10,000,000. The net effect would be a decline in equity value of $7.5 million.资产价值变化将减少[（$ 500,000,000）*（7）*（0.005）] = $ 17,500,000，而负债价值变化将减少[[（$ 400,000,000）*（5）*（0.005）] = $ 10,000,000。 最终结果将是股权价值减少750万美元。