问题如下图：
选项：
A. 
B. 
C. 
解释：
为什么不是Ａ呢？multiple liabilities 不是应该选ｃｏｎｖｅｘｉｔｙ 大的么？
发亮_品职助教 · 2019年05月15日
这道题让选的是有Greatest structural risk的一个Portfolio。
结论就是：债券Convexity数据越大，Structural risk越大，即利率非平行移动时，资产不能匹配负债的风险就越大。
Structural risk是指收益率曲线非平行移动时，资产不能匹配负债的风险，首先对于Portfolio A，因为Convexity数据小于负债的Convexity数据，根本就不符合匹配负债的要求，所以对于Portfolio A就不存在有Strucutral risk一说。
“multiple liabilities 不是应该选ｃｏｎｖｅｘｉｔｙ 大的么？”
Match multiple liabilities，是让资产的Convexity数据大于负债的Convexity数据，同时在此基础上，让资产的Convexity数据尽可能地小，因为资产的Convexity太大的话，Strucutral risk就会太大，所以为了降低Strucutral risk，就要让资产的Convexity在满足匹配要求的基础上，再尽可能地降低。
所以这个表里的Portfolio B和Portfolio C都可以用来Match multiple liabilities，因为两个portfolio的Convexity都大于负债的convexity，但又由于Portfolio B的Convexity数据相对更小点，所以Portfolio B匹配效果相对更好。
总结一下：判断Strucutral risk，就看资产的Convexity数据，Convexity数据越大Structural risk就越大。
wosmomo · 2020年10月11日
太纠结了，做不对了
NO.PZ201812020100000302 问题如下 Based on Exhibit 2, the portfolio with the greatest structurrisk is: Portfolio Portfolio B Portfolio C C is correct. Structural risk arises from the sign of the ration-matching portfolio. It is reced minimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annonparallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. 如题
NO.PZ201812020100000302 问题如下 Based on Exhibit 2, the portfolio with the greatest structurrisk is: Portfolio Portfolio B Portfolio C C is correct. Structural risk arises from the sign of the ration-matching portfolio. It is reced minimizing the spersion of the bonpositions, going from a barbell structure to more of a bullet portfolio thconcentrates the component bon’ rations arounthe investment horizon. With bonmaturities of 1.5 an11.5 years, Portfolio C ha finite barbell structure comparewith those of Portfolios A ananit is thus subjeto a greater gree of risk from yielcurve twists annonparallel shifts. In aition, Portfolio C hthe highest level of convexity, whiincreases a portfolio’s structurrisk. A 都不能matching mutiple liability ，虽然convexity最小，有structure risk吗？C是barbell bon，convexity最大，也有structure risk ，两者怎么对比？ structure risk就单独的看谁的convexity大小吗？
why structure risk is recewhen spersion is minimize thanks
请问如果convexity越高，portfolio具有涨多跌少的性质，为什么structurrisk还越大呢？