官网的习题：
Silver and Shrewsbury begin discussing a client that sponsors a US DB plan. The client wants to immunize the liabilities such that changes in interest rates under various scenarios will not cause a deterioration in funded status. Key data for the plan assets and liabilities are provided in Exhibit 2. Silver’s forecast is that interest rates will rise in a non-parallel fashion. In fact, he expects a bear steepening of the curve as inflation accelerates because of rising wages.
Q:Based on the data in Exhibit 2, will the client discussed most likely be able to immunize its DB plan given the interest rate scenario described by Silver?
- Yes
- No, because of the differences in money duration
- No, because of the differences in convexity and dispersion
答案如下：
既然是bear steepener，asset convexity小，所以asset价值下降更多？
C is correct. The money duration of the assets and liabilities are equal: 517,342,000 × 12.66 = 6,548,381,000, and 500,000,000 × 13.10 = 6,548,381,000. For parallel changes, the equal money durations and PV01 imply that assets and liabilities would move in tandem. Silver expects a bear steepener; that is, long rates will rise faster than short rates. In a bear steepener, long rates rise faster than short rates in a non-parallel fashion. Given that the assets have lower convexity and dispersion than the liabilities, they will underperform; that is, the liabilities would change by a greater amount than the assets.
