题目
Which of the following methodologies is least effective for estimating the VaR due to embedded options?
选项
A.Delta gamma
B.Variance covariance
C.Historical simulation
D.Monte Carlo simulation
答案
B
解析
Variance covariance is based on the assumption that risks are linear with respect to the underlying prices, which is clearly not the case with options. Delta gamma method partially corrects for this error by including the gamma (convexity due to optionality), while the simulation approaches involve full valuation and hence include the risks due to optionality.方差协方差基于以下假设：风险相对于基础价格是线性的，而对于期权而言，显然不是这种情况。 Delta-gamma方法通过包括gamma（由于可选性而引起的凸度）来部分纠正此错误，而模拟方法涉及全面评估，因此包括由于可选性而带来的风险。