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主题:【讨论】FT的最近两则关于美国的报道 -- 联储主席

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家园 duration neutral not work

duration neutral only work for vanilla asset and vanilla liab.

For insurance company, the policyholder carry two embedded options against company.

1. guarantee rate, with will have much higher value for policyholder in extended period of low interest rate.

2 surrender in interest rate spike period.

Two scenarios will hurt insurer. (1) extended period of low interest rate. (2) interest rate spike.

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