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Question 24/161
A portfolio manager is interested in computing risk measures for his bond investment portfolio. Which of the following measures the sensitivity of duration to interest rates?
Correct Answer: C
* Explanation:
* Convexity measures the sensitivity of the duration of a bond to changes in interest rates. It is a measure of the curvature in the relationship between bond prices and yields, indicating how the duration of a bond changes as the yield changes.
References Explanation based on financial risk management principles.
* Convexity measures the sensitivity of the duration of a bond to changes in interest rates. It is a measure of the curvature in the relationship between bond prices and yields, indicating how the duration of a bond changes as the yield changes.
References Explanation based on financial risk management principles.
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