SOA Exam FM Sample Question 432
Study guide: Exam FM-2
Determine which of the following statements about Redington immunization is true.
- A) A difference between Redington immunization and full immunization is that the duration condition does not need to be satisfied for Redington immunization.
- B) A portfolio that satisfies the Redington immunization conditions requires less rebalancing than a cash-flow matched portfolio.
- C) Redington immunization requires that the convexity of the liabilities is greater than the convexity of the assets.
- D) A Redington-immunized portfolio has a duration of zero and a convexity smaller than zero.
- E) Redington immunization is designed to provide surplus protection for small, parallel changes in interest rates.
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