如题

问题如下：

A relative value hedge fund manager holds a long position in asset A and a short position in asset B of roughly equal principal amounts. Asset A currently has a correlation with asset B of 0.97. The risk manager decides to overwrite this correlation assumption in the variance-covariance-based VAR model to a level of 0.30. What effect will this change have on the resulting VAR measure?

选项：

A.

It increases VAR.

B.

It decreases VAR.

C.

It has no effect on VAR, but changes profit or loss of strategy.

D.

There is not enough information to answer.

解释：

A is correct. Because the position is both long and short, high correlation implies low risk. Conversely, lowering correlation increases risk.