The Delta-Normal Method for Computing VaR Has Many Advantages

question 11

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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