SOA Exam FM Sample Question 55
Study guide: Exam FM-2
Determine which of the following statements is false with respect to Redington immunization.
- A) Modified duration may change at different rates for each of the assets and liabilities as time goes by.
- B) Redington immunization requires infrequent rebalancing to keep modified duration of assets equal to modified duration of liabilities.
- C) This technique is designed to work only for small changes in the interest rate.
- D) The yield curve is assumed to be flat.
- E) The yield curve shifts in parallel when the interest rate changes.
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