NO.PZ2015121810000082
问题如下：
Which statement is true regarding risk budgeting in cases in which marginal VaR is used?
选项：
A.
The total risk budget is never equal to the sum of the individual sub-portfolios’ risk budgets.
B.
The total risk budget is always equal to the sum of the individual sub-portfolios’ risk budgets.
C.
If the total risk budget is equal to the sum of the individual sub-portfolios’ risk budgets, there is a risk that this approach may cause capital to be underutilized.
解释：
B is correct. When using marginal VaR, the total risk budget will be equal to the sum of the individual risk budgets.
Choice A is not correct. C is also incorrect; it would be correct if each sub-portfolio’s individual VaR measure, not adjusted for its marginal contribution, were used, which could lead to underutilization of capital.
请老师解释一下c选项
