NO.PZ2020011303000061
问题如下:
What does the delta-normal model assume?
解释:
The delta normal model assumes a linear relationship between changes in the value of a portfolio and the changes in the value of the portfolio risk factors.
题目问:delta-normal model的假设是什么?
假设组合的value变化与风险因子是线性相关关系
DELTA NORMAL假设不是正态分布吗?