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A pension fund's risk manager is responsible for evaluating the risk profiles of different portfolios that the fund holds. These various portfolios are diversified across multiple asset classes and currently possess the same market value. Given these conditions, if there were to be a major, economy-wide financial downturn, which of the portfolios would likely incur the highest level of unexpected losses?
A
A portfolio of US Treasury notes with 2 to 5 years to maturity
B
A portfolio of long stock positions in an international large cap stock index combined with long put options on the same index
C
A portfolio of mezzanine tranche MBS structured by a large regional bank
D
A short position in futures for industrial commodities such as copper and steel