问题如下：
Which of the following statements about VAR estimation methods is wrong?
选项：
A. The delta-normal VAR method is more reliable for portfolios that implement portfolio insurance through dynamic hedging than for portfolios that implement portfolio insurance through the purchase of put options.
B. The full-valuation VAR method based on historical data is more reliable for large portfolios that contain significant option-like investments than the delta-normal VAR method.
C. The delta-normal VAR method can understate the true VAR for stock portfolios when the distribution of the return of the stocks has high kurtosis.
D. Full-valuation VAR methods based on historical data take into account nonlinear relationships between risk factors and security prices.
解释：
Full-valuation methods are more precise for portfolios with options, so answers B and D are correct. The delta-normal VAR understates the risk when distributions have fat tails, so answer C is correct. Answer A is indeed wrong. The delta-normal method will be poor for outright positions in options, or their dynamic replication.
为什么不选c delta normal对尖峰肥尾的分布应该容易低估风险吧 因为只考虑了分位点上的损失 没有考虑es部分呀
