Do large parallel shifts in yield curve also result in structural risk?
Also, if the macaulay duration of the asset is just a little more (Asset = 5.32 and Liability = 5.31) than that of the liability, can we still consider it as a feasible option?
Don’t think parallel shifts can result in structural risk. Only in non-parallel shifts like YC twists.
Do you mean for single liability immunization? That would require MacD to be equal to investment horizon.
No.
Yes.
Close enough is close enough.
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Alright. But does a large parallel shift leads to offsetting of price and reinvestment risk?
After a period of time equal to the Macaulay duration, yes.