Consider a pension liability which consists of annual payments of $ 2 m from year 1 through

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Question:

Consider a pension liability which consists of annual payments of $

2

m from year

1

through

5 .

The spot interest rate is

5 % (

assume flat term structure

) .

Outline the immunisation strategy of this pension liability against changes in the interest rate by holding bonds with duration

10

years.

Related Book For answer-question

International Financial Management

ISBN: 978-0132162760

2nd edition

Authors: Geert Bekaert, Robert J. Hodrick

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Posted Date: Apr 22, 2024 04:23 AM

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Consider a pension liability which consists of annual payments of $ 2 m from year 1 through

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International Financial Management

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