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In the short story The Chess Problem (later chapter 11 of The Big Four), Sonia Daviloff is the niece of the Russian chess master Dr Savaronoff. When Gilmour Wilson was killed during a chess match, Japp considered that it might have been a mistake and that Dr Savaronoff, a Russian emigree who still had enemies in Russia, might have been the intended victim. In this case, Sonia, who would have inherited the entirety of Savaronoff's estate, became a suspect. In addition, Poirot thought that, as Savaronoff had not seen Sonia for many years, it was perfectly possible for a Big Four operative to impersonate her.

For her own part, Sonia also believed that Savaronoff was the intended victim. She surprised Poirot by asking him if he had heard of "The Big Four". At this question, Hasting recorded that "Poirot jumped nearly out of his skin." She said she had overheard her uncle make a reference to them and later asked him about it. He had turned all white and shaking.

Sonia was described as a girl of medium height, with "a beautiful rather sullen face, dark blue eyes, and very black hair which was cut short." Her voice was "rich and sonorous, and completely un-English."

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