可以详细讲一下delta gamma approach嘛？

问题如下：

When measuring the risk of non-linear derivatives, which of the following statements is incorrect?

选项：

A.

The delta-gamma approach is used.

B.

An advantage of the local valuation approach is that it is simple and easy to implement.

C.

A disdvantage of the local valuation approach is that it needs to assume a normal distribution.

D.

The full revaluation approach is perferred for calulating the risk of  mortgage-backed securities.

解释：

D is correct.

考点：Measure the Risk for Non-Linear Derivatives

解析： 这道题是选出说法错误的选项。 对于non-linear derivatives，我们主要采用的方法是delta-gamma approach，A选项说法正确。 local valuation approach 因为采用了近似的方法，所以比较简单也容易实施，B选项说法正确。local valuation approach由一个正态分布的假设，这是它最大的缺点，C说法正确。由于MBS的价格结构比较复杂，因此不适合用full valuation aproach。D选项说法错误，所以选D。