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骑车打伞不太稳 · 2024年06月16日

主观题中涉及到计算的结果,是要几位小数?2位还是4位?

NO.PZ2023010409000025

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:


主观题中涉及到计算的结果,是要几位小数?2位还是4位?

1 个答案

Lucky_品职助教 · 2024年06月17日

嗨,努力学习的PZer你好:


同学你好:


CFA三级对计算题的小数位没有明确的要求,一般保留2位即可。建议计算器设定保留4位,这样会精准一些。


但是在做题的时候,还是要根据实际情况来进行小数位的选择,例如同学这道题中,计算的是duration,那我们保留2位就可以了。至于单位不同的情况,建议数额较大时,比如million或是billion, 答题就尽量不要写零了,例如1.23m较为合适。

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