This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.View Full Document
Unformatted text preview: d. Difference between the market value of the assets and the market value of the liabilities 4) In addition to duration, the sensitivity of an asset or liability to interest rate change can be best approximated using which of the following measures? a. Yield Beta b. Convexity c. Tracking Error d. Standard Deviation 5) Tamarack Insurance Company currently lists assets of $40 million and liabilities of $25 million. The assets have duration of eight years with a convexity of 87.5. The liabilities have duration of 2 years with a convexity of 20. If interest rates increase by 100 basis points, which of the following represents the change in economic surplus? a.-$798,750 b.-$900,000 c.-$2,400,000 d.-$2,793,000...
View Full Document
- Spring '12