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Exam FM General Cash Flows, Portfolios, and Asset Liability Management practice problems

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Topic orientation

What this topic tests

General Cash Flows, Portfolios, and Asset Liability Management covers yield equations, dollar- and time-weighted returns, spot and forward rates, duration, convexity, immunization, and matching assets to liabilities. It asks candidates to connect a cash-flow model with the sensitivity of its present value.

Build the dated cash-flow vector first. Solve yields with a bracketed equation, and calculate portfolio duration from present-value weights under one rate convention. BA II Plus cash-flow and IRR worksheets can reproduce some values, while duration and immunization conditions still require an explicit written model.

Typical failure modes

Accepting an iterative yield without checking the cash-flow sign pattern or root
Averaging component durations without present-value weights
Matching duration while failing to match present value at the same yield

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Exam FM General Cash Flows, Portfolios, and Asset Liability Management practice problems and solutions

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Techniques that keep appearing in General Cash Flows, Portfolios, and Asset Liability Management

Each guide collects the questions above that turn on the same method, with the formulas and the errors that cost marks.

31 worked solutions

Exam FM Duration and Convexity problems

Macaulay and modified duration, convexity, price sensitivity, immunization, and portfolio weighting.

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