题目
A Canadian pension fund manager seeks to measure the sensitivity of her pension liabilities to market interest rate changes. The manager determines the present value of the liabilities under three interest rate scenarios: a base rate of 7%, a 100 basis point increase in rates up to 8%, and a 100 basis point drop in rates down to 6%. The results of the manager’s analysis are presented below:「huixue_img/importSubject/1564548168258031616.png」
The effective duration of the pension fund’s liabilities is closest to:
选项
A.1.49.
B.14.99.
C.29.97.
答案
B
解析
B is correct. The effective duration of the pension fund’s liabilities is closest to 14.99. The effective duration is calculated as follows:「huixue_img/importSubject/1564548168333529088.png」
这道题目问的是一位加拿大养老基金经理试图衡量其养老金负债对市场利率变化的敏感性。经理在三种利率情景下确定负债的现值：基准利率为7%，利率上调100个基点至8%，利率下调100个基点至6%。养恤基金负债的有效期限最接近： B是正确的。养老金负债的有效久期最接近14.99年。计算如下：