NO.PZ2020042003000092
问题如下：
Which of the following statements is
correct?
选项：
A. Convexity refers to a
nonlinear relationship between changes in an asset’s price and changes in
market interest rates.
An asset or portfolio bearing both a low duration and low convexity normally displays relatively large market risk
C. Convexity decreases with the
duration (maturity) of an asset.
Price
risk is smaller when interest rates are low than when they are high.
解释：
考点：对Risk Management for Changing Interest
Rates: ALM and Duration Techniques-The Concept of Duration as a Risk-Management
Tool的理解
答案：A
解析：
选项A的表述正确。
B选项错误，low duration
and 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 low
duration 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，Price
risk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 rates are low than when they are high.
随着duration变大，convexity为什么也变大？
