这道题怎么理解，解释一下

问题如下：

Question A risk manager at a pension fund is analyzing the risk profile of several of the fund’s portfolios. The portfolios are invested in different asset classes and have 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?

选项：

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

解释：

Explanation:

C is correct. The portfolio of mortgage-backed securities would have the highest unexpected loss since the securities should have the highest correlation (covariance) and should have the most risk of moving downward simultaneously in a crisis situation.

Section: Foundations of Risk Management

Learning Objective:

Distinguish between expected loss and unexpected loss and provide examples of each.

Reference: Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 1. The Building Blocks of Risk Management.