Question
After performing a simulation, you find that the present value of liabilities is as shown in the following table: Interest rate assumption Present value of
After performing a simulation, you find that the present value of liabilities is as shown in the following table:
| Interest rate assumption | Present value of liabilities |
| 6% | $410 million |
| 7% | $365 million |
| 8% | $265 million |
What is the effective duration of the liabilities? How can this help a fund manager to structure their assets?
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Lorne Switzer, Maureen Stapleton, Dana Boyko, Christine Panasian
9th Canadian Edition
1259271935, 9781259271939
