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Elias Moises is a graduate student who majors in financial risk management. During the lecture about calculating and applying VaR, the professor tells about that estimating VaR of a position could be tough especially dealing with complicated financial instruments. Historical simulation, delta normal approach and Monte Carlo simulation are different methods to estimate VaR. Which of following statements regarding these three methods is most likely incorrect?


A、Both historical simulation and Monte Carlo simulation are full revaluation methods.
B、Both delta normal approach and Monte Carlo simulation have assumptions of distributions.
C、Both historical simulation and Monte Carlo simulation are computationally intensive.
D、Both historical simulation and delta normal approach are parametric methods.

发布时间:2025-07-04 22:55:44
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答案:D
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