SOA Exam FM Sample Question 333
Study guide: Exam FM-2
Determine which of the following statements about immunization strategies are true.
I. Redington immunization protects against any change in interest rates. II. Full immunization occurs only when the duration of the assets is greater than the duration of the liabilities. III. Immunization techniques strive to arrange the asset portfolio such that the convexity of the assets is equal to the convexity of the liabilities.
- A) None
- B) I and II only
- C) I and III only
- D) II and III only
- 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