Help! Life ALM Exam Fall 2020 Question 2d

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  • #3923
    JXLau
    Participant

    Hi I am struggling with this question that SOA solution says “Part (ii) of this question could not be answered with the information given so it was excluded from grading”. I don’t get it why it could not be answered. My understanding is that if you have the effective duration and the portfolio size, then should be able to get the KRD, with KRD should be able to calculate the impact to portfolio for the interest rate changes. what am I missing? thank you in advance for your help. See question below:

    #3991
    8OutOf10Dogs
    Participant

    I think it’s because a lot of people didn’t interpret the question as being about KRDs. Everything is labelled as Effective Duration and the answer for part (i) gives both and effective duration version of the answer and a KRD version of the answer. So for the people that interpreted it as an effective duration question they wouldn’t have been able to do it since it’s not a parallel shift.

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