题目
Which of the following is most accurate with respect to Delta-normal VaR?
选项
A.The delta-normal method provides accurate estimates of VaR for assets that can be expressed as a linear or non-linear combination of normally distributed risk factors.
B.The delta-normal method provides accurate estimates of VaR for options that are at- or near-the-money and close to expiration.
C.The delta-normal method provides accurate estimates of VaR by generating a covariance (correlation) matrix and measuring VaR using relatively simple matrix multiplication.
D.The delta-normal method provides accurate estimates of VaR for options and other derivatives over ranges even if deltas are unstable.
答案
C
解析
The delta-normal method provides accurate estimates only if the risks can be expressed as a linear combination. While away from the money options have small Gamma, the delta-normal method provides accurate estimates for deep out-of-the-money and deep in-the-money options.仅当风险可以表示为线性组合时，增量正态方法才能提供准确的估计。 尽管远离货币期权的Gamma值较小，但delta-normal法可提供对价外期权和价内期权的准确估计。