You are analyzing the risk management sy...

题目

You are analyzing the risk management system of an asset manager. The asset manager's objective is to follow S&P 500. The portfolio does not have any options. Which of the following is best suited to measure this risk?

选项

A.Absolute VaR using historical simulation

B.Absolute VaR using delta normal approach

C.Tracking error VaR using delta normal approach

D.Tracking error VaR using Structured Monte Carlo approach

答案

C

解析

First, we need to compute tracking error VaR only. Second, for simple portfolios, delta normal approach is sufficient.首先，我们只需要计算跟tracking error VaR。 其次，对于简单的投资组合，正常增量法就足够了。