A
AcadiFi
Market RiskMedium

A factor-based risk decomposition of Sentinel Trading Desk's portfolio shows that equity market risk contributes 40% of VaR, interest rate risk contributes 20%, and credit spread risk contributes 15%. To most efficiently reduce total portfolio VaR, the desk should most likely hedge:

FRM Part II — Market Risk Practice Question | AcadiFi | AcadiFi