Final answer:
The statement is true; convexity measures the sensitivity of a bond's duration to changes in yield, representing the curvature in the bond price-yield relationship and indicating how duration changes with interest rates.
Step-by-step explanation:
The statement that convexity is used to measure the sensitivity of a bond's duration to changes in yield is true. Convexity is an important concept in fixed-income securities analysis that represents the curvature or the degree of the curve in the relationship between bond prices and bond yields. When we say that convexity measures the sensitivity, we mean that it helps to explain how the duration of a bond changes as the interest rates change. Bonds with higher convexity will exhibit larger changes in duration, and hence price, for a given change in yields than bonds with lower convexity.