The Delta-Normal Method for Computing VaR Has Many Advantages

question 26

Multiple Choice

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.

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