NO.PZ201812020100000302
问题如下：
Based on Exhibit 2, the portfolio with the greatest structural risk is:
选项：
A.Portfolio A
B.Portfolio B
C.Portfolio C
解释：
C is correct.
Structural risk arises from the design of the duration-matching portfolio. It is reduced by minimizing the dispersion of the bond positions, going from a barbell structure to more of a bullet portfolio that concentrates the component bonds’ durations around the investment horizon. With bond maturities of 1.5 and 11.5 years, Portfolio C has a definite barbell structure compared with those of Portfolios A and B, and it is thus subject to a greater degree of risk from yield curve twists and nonparallel shifts. In addition, Portfolio C has the highest level of convexity, which increases a portfolio’s structural risk.
如题
