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A risk manager at a pension fund is evaluating the risk attributes associated with different portfolios under their management. These portfolios are diversified across various asset classes and each holds the same current market value. Given this scenario, identify the portfolio that is likely to experience the highest unexpected loss in the event of a severe and extensive decline in the financial markets.
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