NO.PZ2018122701000005
问题如下：
In the early 2000s, Jane was calculating the VAR for a technology stock fund based on data from the past three years, which has an investment strategy of buying stocks and writing out-of-the money put options. Which of the following methods results in the most inaccurate VAR values?
选项：
A.Historical simulation based on full repricing
B.Delta-normal VAR assuming zero drift
C.Monte Carlo style VAR assuming zero drift with full repricing
D.Historical simulation using delta equivalents for all positions
解释：
D is correct.
考点：Advantages and disadvantages of Non-parametric methods
解析：回答本题需要了解一定的历史背景。在1996-1999年，科技股呈现出上涨的泡沫，所以只依赖2000年之前三年的历史数据会低估VAR值。
在A和D两个选项中，A选项虽然用的是历史模拟法，但基于full repricng后, 对公司信息和其它因素重新做了模型定价，因此受历史情况影响小一些。因此，D最不准确。
In the early 2000s, Jane was calculating the VAR for a technology stock fund based on data from the past three years, which has an investment strategy of buying stocks and writing out-of-the money put options. Which of the following methods results in the most inaccurate VAR values?
这个为啥不能从在这个角度拿捏》》有含权债券，所以不适用delta normal了呀。。。不能假设它没有二阶导啥的呀。。。
蟹蟹蟹蟹
（卖了个put option不就含权了吗 虽然是OTM吧）
