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] | 
发表于 2010-5-17 23:03
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