410140980 · 2022年09月29日

covaraince matrix 和simple martrix

NO.PZ2016070202000017

Which of the following is most accurate with respect to delta-normal VAR?

A.

The delta-normal method provides accurate estimates of VAR for assets that can be expressed as a linear or nonlinear combination of normally distributed risk factors.

B.

The delta-normal method provides accurate estimates of VAR for options that are near or at-the-money and close to expiration.

C.

The delta-normal method provides estimates of VAR by generating a covariance matrix and measuring VAR using relatively simple matrix multiplication.

D.

The delta-normal method provides accurate estimates of VAR for options and other derivatives over ranges even if deltas are unstable.

The delta-normal approach will perform poorly with nonlinear payoffs, so answer A is false. Similarly, the approach will fail to measure risk properly for options if the delta changes, which is the case for at-the-money options, so answers B and D are false.

1 个答案

C的本意是delta-normal使用协方差矩阵来计算VaR, 并且整个过程仅涉及简单的矩阵乘法运算（simple是说矩阵乘法很简单）。协方差矩阵指的是资产组合中任意两个资产之间的协方差组成的矩阵。

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