5336金融与交易困难essaymedium
Portfolio VaR Below Sum Of Desk VaRs
题目
At the daily risk meeting, the CRO notes that the standalone historical VaRs of three desks add up to 42 million, but the portfolio historical VaR comes out to only 31 million after a new basis book was added. What is the most likely explanation, and what is one concrete systems check you should run before trusting that diversification effect?
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