为啥不选 A

问题如下：

LICIA’s portfolio, which has a market value of CAD 260 million, is currently structured as shown in Exhibit 1. Despite its more than 1,000 individual holdings, the portfolio is invested predominantly in India. The Indian government bond market is highly liquid, but the country’s mortgage and infrastructure loan markets, as well as the corporate bond market, are relatively illiquid. Individual mortgage and corporate bond positions are large relative to the normal trading volumes in these securities. Given the elevated current and fiscal account deficits, Indian investments are also subject to above-average economic risk.

Infrastructure is a rapidly growing asset class with limited return history; the first infrastructure loans were issued just 10 years ago.

Given Hamilton’s expectations, which of the following models is most appropriate to use in estimating portfolio VaR?

选项：

A.

Parametric method

B.

Historical simulation method

C.

Monte Carlo simulation method

解释：

The Monte Carlo simulation method can accommodate virtually any distribution, an important factor given the increased frequency of large daily losses. This method can also more easily accommodate the large number of portfolio holdings. The Monte Carlo method allows the user to develop her own forward-looking assumptions about the portfolio’s risk and return characteristics, unlike the historical simulation method, which uses the current portfolio and re-prices it using the actual historical changes in the key factors experienced during the look-back period. Given the limited return history for infrastructure investments and Hamilton’s expectations for higher-than-normal volatility, the historical simulation method would be a suboptimal choice.