问一道题：NO.PZ201711270100000102 第2小题 [ CFA III ]

你好 Jason，不知道你是否理解 structural risk 的概念：

PPT89页

The risk is that yield curve twists and non-parallel shifts lead to changes in the cash flow yield that do not match the yield to maturity of the zero-coupon bond that provides for perfect immunization. 也就是说免疫策略失效的风险。

PPT87页Structural risk arises from the potential for shifts and twists to the yield curve.

这个关键在于免疫策略失效，通常就是收益率曲线的平行移动以及曲度变化导致。然后同学你还记得 平移和收益率曲线twist的风险是哪两个指标衡量吗？

Duration 和 convexity。

结论：PPT89页

This risk （structural risk） is reduced by minimizing the dispersion (minimizing the convexity) of cash flows in the portfolio, going from a barbell design to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon.

另外，同学请仔细理解我的逻辑，从概念出发，逐个突破。不论是结论还是原理，讲义和视频里都有讲解，希望你能明白自己的学习能力真的比知识本身来的重要的多。