FSA courses

CP 351

Asset Liability Management

2 discussions

Explanation

CP 351: Key-rate scenarios reveal exposures hidden by one duration

A single duration summarises a particular parallel-rate sensitivity. Curve twists and concentrated maturity exposures can create different outcomes despite similar total durations. Options and behaviour can add nonlinear effects.

Original practice scenario

Compare an original two-bucket asset and liability profile under a parallel move and a short-rate-only move. Explain why matching their weighted total duration does not ensure both scenarios match. State convexity, credit and behaviour limitations before interpreting the surplus result.

Study check

Write the assumptions, the decision being supported and one limitation. Use the current course syllabus for the required terminology and scope; this introductory guide is not a complete course summary.

Reading sources

Official syllabus and resources

ActNet editorial guide · October 1, 2026 · Original illustrative examples.

0 repliesOct 1

Explanation

CP 351: A duration match does not guarantee a liquidity match

Market sensitivity and the ability to meet cash obligations are different ALM questions. A portfolio can match duration while its cash flows arrive after the liabilities that must be paid.

Original practice scenario

In an original portfolio, asset and liability duration both equal 8, but large benefit payments are due next quarter and asset maturities are distant. Prepare a cash-gap table and a stress on liquid-asset sale values. Explain the missing liquidity risk without dismissing the duration match.

Study check

Reading sources

Official syllabus and resources

ActNet editorial guide · October 1, 2026 · Original illustrative examples.

0 repliesOct 1