WHICH OF THE FOLLOWING STATEMENTS REGARDING SENSITIVITY RISK MEASU...

13. Which of the following statements regarding sensitivity risk measures is least accurate?

A. Beta is used to measure equity exposure.

B. Gamma of an option is similar to duration, as it examines the effect on option value due

to small changes in the underlying value.

C. For larger yield changes convexity is added to duration to assess the change in bond

prices.