SOA Exam FM Sample Question 199
Study guide: Exam FM-2
Determine which of the following statements regarding the Redington immunization technique is false.
- A) This technique assumes that the yield curve is flat.
- B) This technique assumes that only parallel shifts in the yield curve are allowed.
- C) This technique is designed to work only for small changes in the interest rate.
- D) The modified duration of the assets must equal the modified duration of the liabilities.
- E) The convexity of the assets must equal the convexity of the liabilities.
Answer this question and see the worked solution
Concepts tested
- Immunization
- Duration
- Portfolio
- Asset-Liability Portfolio
- Duration Matching
- Redington Immunization
- Convexity