题目
Which VaR methodology is least effective for measuring options risk?
选项
A.Variance\/covariance approach
B.Delta\/gamma
C.Historical simulation approach
D.Monte Carlo approach
答案
A
解析
The analytic variance/covariance VaR methodology does not provide a reliable risk measure for options because options have a nonlinear payoff, which violates the assumption that the portfolio value distribution is normal.由于期权具有非线性收益，因此分析方差/协方差VaR方法不能为期权提供可靠的风险度量，这违背了投资组合价值分布为正态的假设。