NO.PZ2021120102000021
问题如下：
Which of the following statements best describes methods forassessing portfolio tail risk?
选项：
A.
Parametric methods use expected value and standard deviation ofrisk factors under a normal distribution and are well suited for option-based portfolios.
B.
Historical simulation methods use historical parameters and ranking results and are not well suited for option-based portfolios.
C.
Monte Carlo methods generate random outcomes using portfolio measures and sensitivities and are well suited for option-based portfolios.
解释：
C is correct. Parametric methods in A are not wellsuited for non-normally distributed returns or option-based portfolios, while historicalsimulation assumes no probability distribution and accommodates options.
Parametric method不适用于option-based bond，原理上怎么讲？因为含权就不正态分布？
