The DataSoft Corporation has an employee pension scheme with fixed Iiabilities and a long time horizon reflecting its young workforce. The fund's assets are USD 9 billion and the present value ofits liabilities is USD 8.8 billion.Which of the following statements are incorrect?
　　I The present value of long-term fixed payments behaves very much like a long position in a fixed-rate bond.
　　II Surplus at Risk is a measure of relative risk
　　III The DataSoft Corporation will be able to immunize its liabilities by investing USD 8 billion in long-term fixed-rate bonds
　　A. I and II
　　B. II and III
　　C. I and III
　　D. I, II and III
　　Answer:C
　　I is Incorrect. The present value of long-term fixed payments behaves very much like a short position in a fixed rate bond.
　　II is Correct. Surplus at Risk is a measure of relative risk.
　　III is Incorrect. The DataSoft Corporation will be able to immunize its liabilities by investing USD 8.8 bil1ion in long-term fixed rate bonds.