Immunization Q

CFA Level III
#1

For each of the techniques below - Describe if it protects us against shifts and/or twists?

  1. Classical Immunization

  2. Contingent Immunization

  3. Multiple liability immunization

  4. Cash flow matching

  5. Horizon Matching

#2

1: shift only

2: shift

3: if used alone, then shift only. if combined with linear optimization, can protect twist.

4:shift

5: mostly shift. protect against twist only in the initial periord.

I am not sure about 2 and 4

#3
  1. Cash flow matching – all.
#4

I think this sounds correct

1: shift only

2: shift only

3: if used alone, then shift only. if combined with linear optimization, can protect twist.

4: shift + twist

5: mostly shift. protect against twist only in the initial periord.