NO.PZ2020042003000092
问题如下：
Which of the following statements iscorrect?
选项：
A.
Convexity refers to anonlinear relationship between changes in an asset’s price and changes inmarket interest rates.
B.
An asset or portfolio bearingboth a low duration and low convexity normally displays relatively large market risk
C.
Convexity decreases with theduration (maturity) of an asset.
D.
Pricerisk is smaller when interest rates are low than when they are high.
解释：
考点：对Risk Management for Changing InterestRates: ALM and Duration Techniques-The Concept of Duration as a Risk-ManagementTool的理解
答案：A
解析：
选项A的表述正确。
B选项错误，low durationand low convexity的债券具有较低的Market risk。关于B选项正确的表述为：
An asset or portfolio bearing both a lowduration and low convexity normally displays relatively small market risk.
C选项错误，随着债券Maturity的增加，债券的Convexity数据会增加，C选项改成正确的表述为：
Convexity increases with the duration(maturity) of an asset.
D选项错误，当利率降低时，Pricerisk更大，因为债券有较高的Duration，D选项改为正确的表述为：
Price risk is greater when interest ratesare low than when they are high.
c选项是不是漏了单词c选项是不是漏了单词
