What is the present value of the liabilities?What is the Macaulay duration of the liabilities?Which one of the portfolios do you recommend the investment management firm invest its cash in to manage interest rate risk? Explain.
When answering the question, state any additional assumptions you may need to make. Show all working/calculations. You have been hired to advise an investment management firm. The firm currently has assets held as cash worth £100 million and liabilities that consist of payments of £15 million in 2 years, £20 million in 3 years, £30 […]