medium · Frm Part 2 Risk & Investment Management
A pension plan manager observes that the sum of the Individual VaRs of four mandates is $120,000,000, while the total Portfolio VaR is $85,000,000.
What does the difference of $35,000,000 represent in the context of risk budgeting?
- The Incremental VaR of the least risky manager.
- The total Marginal VaR across the plan.
- The tracking error of the active mandates.
- The diversification benefit of the plan.
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