Question

The numbers provided are in millions of dollars and reflect market values:

A risk manager could restructure assets and liabilities to reduce interest rate exposure for this example by

A. increasing the average duration of its assets to 9.56 years.

B. decreasing the average duration of its assets to 4.00 years.

C. increasing the average duration of its liabilities to 6.78 years.

D. increasing the average duration of its liabilities to 9.782 years.

E. increasing the leverage ratio, k, to 1.

Answer

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