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金融民工阿聪 · 2021年01月24日

C为什么对呢

问题如下:

Which of the following is most accurate with respect to delta-normal VAR?

选项:

A.

The delta-normal method provides accurate estimates of VAR for assets that can be expressed as a linear or nonlinear combination of normally distributed risk factors.

B.

The delta-normal method provides accurate estimates of VAR for options that are near or at-the-money and close to expiration.

C.

The delta-normal method provides estimates of VAR by generating a covariance matrix and measuring VAR using relatively simple matrix multiplication.

D.

The delta-normal method provides accurate estimates of VAR for options and other derivatives over ranges even if deltas are unstable.

解释:

The delta-normal approach will perform poorly with nonlinear payoffs, so answer A is false. Similarly, the approach will fail to measure risk properly for options if the delta changes, which is the case for at-the-money options, so answers B and D are false.

为什么会用到协方差矩阵?

1 个答案
已采纳答案

品职答疑小助手雍 · 2021年01月25日

嗨,努力学习的PZer你好:


算delta的时候要通过相关性(协方差)来计算嘛,这样才可以把组合和benchmark mapping起来。所以要用到协方差矩阵。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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