RiskMgmtFinal - AssetLiabilitiesManagement Rafia Khan...

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Asset-Liabilities Management Rafia Khan Jingning Wang Xiaoshuai Wu JH Annuities December 10, 2010
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Objective and Methodology Goal : Construct Bond Portfolio to meet Annuities liabilities from 2014-2015, given                    that assets, liabilities, and bond prices are independent of each other. First step:   Chose bonds with highest YTM for each rating/maturity class and calculated cash  flows:  FEDERAL HOME,  WACHOVIA, GOLDMAN SACHS GROUP, QWEST CORP, JONES                                                        APPAREL, FEDERAL FARM, HANCOCK, BANKERS, COLORADO, ZIONS. Second Step : Chose Zions and Bankers based on highest returns and rating. Bond Value (price+interest reinvest) Rating coupon (%) 1st year end 2nd year end 3rd year end 4th year end 5th year end Average Return 4th yr Average Return 5th yr ZIONS BANK BB 5.5 99.324 5 103.994 7 109.718 8 109.7 5 128.507 9 8% 26% BANKERS TR CORP
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RiskMgmtFinal - AssetLiabilitiesManagement Rafia Khan...

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