问题如下:
6.What additional risk measures would be most appropriate to add to Hamilton’s risk assessment?
选项:
A. Delta
B. Duration
C. Tracking error
解释:
B is correct.
Given the large fixed-income exposure in the LICIA portfolio, examining the portfolio duration more closely would be prudent. Duration is the primary sensitivity exposure measure for fixed-income investments.
考点:sensitivity risk measures
解析:债券面临的风险通常用duration & convexity衡量,正如股票用 β, 期权用delta。
LICIA portfolio的资产配置中,大部分都是债券类产品,所以选择用duration来衡量风险。