The delta-normal method for computing VaR has many advantages. Which of the following is not a characteristic of the delta-normal approach?
A) VaR can be calculated analytically.
B) It is simple to apply because it uses the normal probability distribution.
C) It is a non-parametric method.
D) It can be used to compute risk-decompositions.
Correct Answer:
Verified
Q6: Consider a two-asset portfolio invested with
Q7: A portfolio has a current value
Q8: Monte Carlo is widely-used approach for computing
Q9: Which of the following is not a
Q10: You invest $100 in a corporate bond.
Q12: If a portfolio is doubled in size,
Q13: A portfolio has a current value
Q14: You invest $100 in a corporate bond.
Q15: VaR as a risk measure has the
Q16: Historical simulation as a method of computing
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents