d选项

问题如下：

A risk manager is analyzing several portfolios, allwith the same current market value. Which of the following portfolios wouldlikely have the highest potential level of unexpected loss during a sharpbroad-based downturn in financial markets?

选项：

A.

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

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 alarge regional bank

D.

A short position in futures for industrial commoditiessuch as copper and steel

解释：

Explanation: The portfolio of mortgage backedsecurities would have the highest unexpected loss since the securities shouldhave the highest correlation (covariance) and should have the most risk ofmoving downward simultaneously in a crisis situation

抵押贷款支持证券的投资组合将具有最高的意外损失，因为证券应该具有最高的相关性(协方差)，并且在危机情况下应该具有最大的同时向下移动的风险