Answer the below questions. (a)What are the difficulties of following aduration-matched strategy for hedgingthe interest-rate risk of

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Answer the below questions.
(a)What are the difficulties of following aduration-matched strategy for hedgingthe interest-rate risk of a defined benefitpension plan?
(b)How can interest-rate derivatives be used in abond portfolio?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:48 AM

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Answer the below questions. (a)What are the difficulties of following aduration-matched strategy for hedgingthe interest-rate risk of

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a In practice there are two problems in following a durationmatched strategy for hedging the interestrate risk of a defined benefit pension plan First the duration of the liabilities may be high eg mo...View the full answer

Bond Markets Analysis and Strategies

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