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Question：A pension fund invests in a variety of asset classes including bonds, equities, commodities and currencies. To meet growing pension liabilities, the fund's board has been putting a lot of pressure on the chief investment officer (CIO) to increase returns.
One proposal that came up at the last board meeting was to invest in hedge funds. The chief risk officer (CRO), in preparing a quarterly report to the board, is concerned about giving an accurate and appropriate representation of the risk the fund faces, responding to several requests from the CIO for information to be included in the report, and investigating the issue of risks related to investing in hedge funds.
The CRO has noticed an increase in the fund's 1-month 99% VaR and wants to provide information relevant to determining which asset classes are responsible for the increase. Assuming the correlations of returns between asset classes in the fund are not all zero, which of the following is the most appropriate measure to use?
A. Calculating the Sharpe ratio of each asset class in the fund
B. Computing the beta of each asset class in the fund
C. Calculating the component VaR of each asset class in the fund
D. Computing the marginal VaR of each asset class in the fund
Answer:D
Marginal VaR provide information relevant to determining which asset classes are responsible for the increase.
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