Question: After performing a simulation, you find that the present value of liabilities is as shown in the following table: Interest rate assumption Present value of

After performing a simulation, you find that the present value of liabilities is as shown in the following table:

Interest rate assumption Present value of liabilities

6% -----------------------> $410 million

7% -----------------------> $365 million

8% -----------------------> $265 million

What is the effective duration of the liabilities? How can this help a fund manager to structure their assets?

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