NO.PZ202403050400000604
问题如下：
Which of Hextall’s explanations regarding the three distinct methods of VaR is least likely correct?选项：
A.Historical B.Parametric C.Monte Carlo解释：
A is correct. Hextall incorrectly explains the historical method by stating that it relies on the assumption that the distribution of returns on the risk factors is a normal distribution. The historical method is based on actual returns and, accordingly, is not constrained by the assumption of a normal distribution.
B is incorrect. Hextall’s explanation about the parametric method is correct.
C is incorrect. Hextall’s explanation about the Monte Carlo simulation method is correct.
不理解这道题在考什么
