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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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On January 1, 2006, a pension fund has assets of EUR 100 billion and is fully invested in the equity market. It has EUR 85 billion in liabilities. During 2006, the equity market declined by 15% and yields increases by 1.2%. If the modified duration of the liabilities is 12.5, what is the pension fund's surplus on December 31, 2006?

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