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Delta-normal, historical simulation and ...

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题目

Delta-normal, historical simulation and Monte Carlo are various methods available to compute VaR. If underlying returns are normally distributed, then the

选项

A.Delta-normal method VaR will be identical to the historical-simulation VaR.

B.Delta-normal method VaR will be identical to the Monte-Carlo VaR.

C.Monte-Carlo VaR will approach the delta-normal VaR as the number of replications ("draws") increases.

D.Monte-Carlo VaR will be identical to the historical-simulation VaR.

答案

C

解析

In finite samples, the simulation methods will be in general different from the delta-normal method, and from each other. As the sample size increases, however, the Monte-Carlo VaR should converge to the delta-normal VaR when returns are normally distributed.在有限样本中,模拟方法通常会与增量法则方法有所不同,并且彼此之间会有所不同。 但是,随着样本数量的增加,当收益呈正态分布时,蒙特卡洛VaR应当收敛于delta-normal VaR。