The present value of the pensions liabilities is $450 million and the average duration of the liabilities

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The present value of the pension’s liabilities is $450 million and the average duration of the liabilities is 10.

a. What is the pension’s economic surplus?

b. What would happen to the economic surplus if interest rates were to increase by100 basis points?

c. What would happen to the economic surplus if interest rates were to decrease by 100 basis points?

d. How could the fund minimize the impact the interest rate changes have on its economic surplus?

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Bond Evaluation Selection And Management

ISBN: 103132

2nd Edition

Authors: R. Stafford Johnson

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Question Posted: Sep 20, 2024 01:02 AM

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The present value of the pensions liabilities is $450 million and the average duration of the liabilities

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Bond Evaluation Selection And Management

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