Which of the following VaR methodologies...

题目

Which of the following VaR methodologies most closely resembles the approach followed by Risk Metrics?

选项

A.Structured Monte Carlo

B.Stress testing

C.Delta-normal method

D.Historical simulation

答案

C

解析

The Risk Metrics approach uses a modified delta-normal method, using the logs of price ratios rather than rates of return.风险度量方法使用修正的delta-normal方法，使用价格比率的对数而不是回报率。