The presence of highly illiquid assets such as convertible bonds, traded infrequently, does not make VaR risk management systems suitable for the investment management industry. VaR is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. This measure is most commonly used by investment and commercial banks to determine the extent and occurrence ratio of potential losses in their institutional portfolios. However, VaR is not well-suited to handle illiquid assets like convertible bonds that are traded infrequently. The reason for this is that VaR relies on historical data to estimate future risk, and illiquid assets that are traded infrequently do not provide a sufficient amount of data for accurate risk estimation. Furthermore, the price volatility of illiquid assets can be extreme, which can lead to significant underestimation of risk by VaR models. Therefore, while VaR is a useful tool for managing risk in many contexts, it is not ideally suited for portfolios containing a significant proportion of illiquid assets.

Choice A is incorrect. The global nature of investments necessitates risk measures that account for diversification. VaR is particularly well-suited to this as it provides a single, consolidated view of risk across all types of investments and geographies, thereby taking into account the benefits of diversification.

Choice B is incorrect. The complexity of financial instruments requires robust and centralized risk management systems. VaR systems are capable of handling complex financial instruments and providing a comprehensive view of the risks associated with them.

Choice C is incorrect. The dynamic nature of investment portfolios demands forward-looking risk measures. VaR systems are designed to be forward-looking, using historical data to predict potential future losses.