题目
Monte Carlo simulation and the historical method are two means of calculating VaR. Which of the following describes a disadvantage of the Monte Carlo method compared to the historical method of calculating VaR? The Monte Carlo method: I. Takes advantage of the normal distribution. II. Incorporates flexibility in modeling price paths.
选项
A.I only
B.II only
C.Both
D.Neither
答案
D
解析
The Monte Carlo approach allows for whatever relationships the VaR modeler would like to take into account It is the most flexible method for generating VaR; however, it comes at a cost of requiring substantial computing power, especially when the model used to generate portfolio relationships is complex.蒙特卡洛模拟考虑了VaR建模者想要考虑的任何关系。 但是，这是以需要大量计算能力为代价的，特别是当用于生成投资组合关系的模型复杂时。