题目
In the presence of fat tails in the distribution of returns, VaR based on the delta-normal method would (for a linear portfolio):
选项
A.Underestimate the true VaR.
B.Be the same as the true VaR.
C.Overestimate the true VaR.
D.Cannot be determined from the information provided.
答案
A
解析
The VaR would be underestimated because of the greater frequency of losses in the tails of the distribution.由于分布尾部损失的频率更高，因此VaR会被低估。