这个题为什么不选C? ladder 的convexity 小 所以less protection？
问题如下图：
选项：
A. 
B. 
C. 
解释：
发亮_品职助教 · 2019年02月15日
C选项刚好说反了。
应该是Portfolio B能够提供更多的保护，因为Portfolio B的Convexity比Portfolio C的Convexity更小。
在其他条件一定的情况下，Convexity越小的债券，在收益率曲线Twists和Shifts时，提供的保护越多。
注意C选项是Protection from yield curve shifts and twists，这里是包括收益率曲线的非平行移动的。
在讲到资产Duration matching负债时，提到过：当收益率曲线非平行移动（包括twists）时，存在一个Structural risk，即资产无法匹配负债的情况。这种风险产生的原因就是由资产的结构引起的，所以叫Structural risk。
资产的Structural risk越大，在收益率曲线非平行移动时，资产能够match liability的情况越差，也就是在twists时，提供的保护越少。
为了有更多的保护，就要降低资产的Structural risk，为资产匹配负债提供更多的保护。
所以Portfolio B和Portfolio C，要找哪个组合在收益率曲线Twists时，提供的保护更多，就要找哪个组合的Structural risk小。
而Strucutral risk和资产的Convexity相关，当其他条件一定的情况下，资产的Convexity越小，则其Structural risk越小。
反言之Convexity越小的组合，在收益率曲线非平行移动时，能够提供更多的Protection。
表中就是Portfolio B的Convexity是小于Portfolio C的Convexity的，所以Portfolio B在收益率曲线Shifts和twists时，能够提供更多的保护。
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