A risk manager is analyzing several portfolios, all with the same current market value. Which of the following portfolios would likely have the highest potential level of unexpected loss during a sharp broad-based downturn in financial markets?

Exam-Like

A portfolio of US Treasury notes with 2 to 5 years to maturity.

A portfolio of long stock positions in an international large cap stock index combined with long put options on the same index.

A portfolio of mezzanine tranche MBS structured by a large regional bank.

A short position in futures for industrial commodities such as copper and steel.

Financial Risk Manager Part 1