Liability-Driven Investing: Interest-Rate Hedge Ratio by Duration Matching
This lesson is part of the course
In this lesson
You measure the PV01 of the Halvern Plan's liability and of its bond and swap holdings, compute the interest-rate hedge ratio and size the extra swaps needed to reach an 80% hedge.
Buy the course once for $9.99 to unlock every lesson and lab, the final exam and the certificate – lifetime access, no subscription.
Lessons in this course
- The DB Benefit Formula: Accrual Rate × Service × Final Salary Locked
- Projected Benefit Cash Flows by Year Locked
- The Liability: Present Value of Benefit Cash Flows with NPV Locked
- Funding Ratio, Surplus & Deficit and a Simple Stress Test Locked
- Liability Sensitivity: Duration Estimate vs Full Revaluation Locked
- Closing the Deficit: Recovery-Plan Contributions with PMT Locked
- Asset Allocation: Expected Return vs Liability Growth Locked
- Liability-Driven Investing: Interest-Rate Hedge Ratio by Duration Matching Locked