SOA Exam FM Sample Question 295
Study guide: Exam FM-2
The table gives information about the assets and liabilities of three companies.
| Company | Asset PV | Asset Modified Duration | Asset Convexity | Liability PV | Liability Modified Duration | Liability Convexity |
|---|---|---|---|---|---|---|
| U | 200,000 | 10.2 | 150 | 200,000 | 9.3 | 148 |
| V | 300,000 | 8.6 | 85 | 300,000 | 8.6 | 80 |
| W | 400,000 | 15.8 | 300 | 400,000 | 15.8 | 305 |
Determine which of the following statements are true.
(I) Company U's position is immunized against small interest rate changes. (II) Company V's position is immunized against small interest rate changes. (III) Company W's position is immunized against small interest rate changes.
- A) I only
- B) II only
- C) III only
- D) I, II, and III
- E) The correct answer is not given by (A), (B), (C), or (D).
Answer this question and see the worked solution
Concepts tested
- Immunization
- Duration
- Portfolio
- Asset-Liability Portfolio
- Duration Matching
- Redington Immunization
- Convexity