The numbers provided are in millions of dollars and reflect market values:
-A risk manager could restructure assets and liabilities to reduce interest rate exposure for this example by
A)increasing the average duration of its assets to 9.56 years.
B)decreasing the average duration of its assets to 4.00 years.
C)increasing the average duration of its liabilities to 6.78 years.
D)increasing the average duration of its liabilities to 9.782 years.

Question

The numbers provided are in millions of dollars and reflect market values: 
-A risk manager could restructure assets and liabilities to reduce interest rate exposure for this example by
A)increasing the average duration of its assets to 9.56 years. 
B)decreasing the average duration of its assets to 4.00 years. 
C)increasing the average duration of its liabilities to 6.78 years. 
D)increasing the average duration of its liabilities to 9.782 years.

Quizplus · Accepted Answer

To completely immunize against interest rate changes, set the leverage adjusted duration to zero. 11efb87e_7fc1_c533_9137_612c658bff32_TB1314_00

The Numbers Provided Are in Millions of Dollars and Reflect