如题，不记得哪里看到的了 好像是教材课后题或者VOLUME的题里的一个答案解释

高手谁能回答一下？

I am wondering if you are talking about this question.

CFAI V4 P155 Q23 :

Pension plan
Asset's duration : 6.2 Liability duration : 10.2
The plan should be most concerned about a
A. flatttening of the yield curve
B. steepening of the yield curve
C. large parallel shift up in yield curve

answer is on page 160

The key is that the asset duration is lower than liability duration. So when yield curve flattening (long term interest rates drop), the liability increases faster than asset.

[此贴子已经被作者于2010-5-18 0:14:01编辑过]