NO.PZ201702190100000206
问题如下：
What additional risk measures would be most appropriate to add to Hamilton’s risk assessment?
选项：
A.Delta
B.Duration
C.Tracking error
解释：
B is correct.
Given the large fixed-income exposure in the LICIA portfolio, examining the portfolio duration more closely would be prudent. Duration is the primary sensitivity exposure measure for fixed-income investments.
考点：sensitivity risk measures
解析：债券面临的风险通常用duration & convexity衡量，正如股票用 β， 期权用delta。
LICIA portfolio的资产配置中，大部分都是债券类产品，所以选择用duration来衡量风险。
rt
