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To: russwinter who wrote (13221)6/29/2003 9:28:52 PM
From: aknahow  Respond to of 39344
 
Never said." ...the use of "similar" securities for duration hedging. " Institutions use liabilities of a duration similar to the duration of the investments they fund.

Most models incorporate the impact on a portfolio and ones liabilities of immediate changes of interest rates in various magnitudes., (100, 200, 200,400 basis points).