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?