c问题在哪里

问题如下：

The AT&T pension plan reports a projected benefit obligation of $17.4 billion. If the discount rate decreases by 0.5%, this liability will increase by $0.8 billion. Based on this information, the liabilities behave like a

选项：

A.

Short position in the stock market

B.

Short position in cash

C.

Short position in a bond with maturity of about nine years

D.

Short position in a bond with duration of about nine years

解释：

D is correct. We can compute the modified duration of the liabilities as D* = —(ΔP/P)/Δy = —(0.8/17.4)/0.0005 = 9.2 years. So, the liabilities behave like a short position in a bond with a duration around nine years. Answers a. and b. are incorrect because the liabilities have fixed future payoffs, which do not resemble cash flow patterns on equities or cash. Answer c. is incorrect because the duration of a bond with a nine-year maturity is less than nine years. For example, the duration of a 6% coupon par bond with nine-year maturity is seven years only.