NO.PZ2018122701000043
问题如下：
Marigos Bank uses Delta-normal VaR to measure the risk of one of its
derivative portfolios. Which of the following is the assumption of
Marigos Bank?
选项：
A.It assumes that the correlation of options in the portfolio is already known.
B.It assumes that the options in the portfolio are close to expiration.
C.It assumes that the deltas of the options in the portfolio are stable.
D.It assumes that the options in the portfolio are almost at the money.
解释：
C is correct.
考点：Delta-normal VaR
解析：Delta-normal VaR只有当delta的数值比较稳定的时候才能带来相对准确风险估计，当期权at the money或者临近到期日时delta会变得不稳定，进而会导致Delta-normal VaR对风险的计量不准确。
所以delta-normal方法，一般只在option in the money的时候才用是吗？
