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Liability-Driven Investing
Liability-Driven Investing
Medium
A pension fund has $3B in liabilities with modified duration of 14 years and $2.7B in assets with modified duration of 5 years. If interest rates decline by 100 basis points, the approximate change in the surplus (assets minus liabilities) is:
A
Surplus decreases by approximately $285M
B
Surplus increases by approximately $285M
C
Surplus decreases by approximately $135M
D
Surplus is unchanged because both assets and liabilities increase
Select an answer to continue
Tags
#ldi
#duration-mismatch
#surplus-risk
#pension-fund
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CFA Level III — Liability-Driven Investing Practice Question | AcadiFi | AcadiFi