A
AcadiFi
Risk Management and InvestmentMedium

A multi-strategy fund has a total VaR budget of $30 million. The equity long/short desk uses $18M of VaR (60%), the credit desk uses $8M (27%), and the macro desk uses $4M (13%). The CIO wants to implement risk parity across the three desks. Under risk parity, each desk's VaR allocation would be: