题目
A Monte Carlo VaR model is preferred over the Delta-normal approach when:
选项
A.Volatilities change over time.
B.The portfolio has linear exposures to many sources of risk.
C.The risk factors have normal distributions and the portfolio consists of options.
D.The portfolio contains only US non-callable government bonds.
答案
C
解析
For portfolios containing options, the Monte Carlo simulation VaR methodology is preferred over the delta-normal approach, even when the distribution is normal. In the absence of options, the delta-normal (variance/covariance) methodology may be the best choice.对于包含期权的投资组合，即使分布是正态的，蒙特卡罗模拟VaR方法也比delta-normal方法更可取。 在没有选择的情况下，delta-normal方差/协方差）方法可能是最佳选择。