问题如下:
In early 2000, a risk manager calculates the VAR for a technology stock fund based on the past three years of data. The strategy of the fund is to buy stocks and write out-of-the-money puts. The manager needs to compute VAR. Which of the following methods would yield results that are least representative of the risks inherent in the portfolio?
选项:
A.Historical simulation with full repricing
B.Delta-normal VAR assuming zero drift
C.Monte Carlo style VAR assuming zero drift with full repricing
D.Historical simulation using delta equivalents for all positions
解释:
D is correct.
Because the portfolio has options, methods A or C based on full repricing would be appropriate. Next, recall that technology stocks had a big increase in price until March 2000. From 1996 to 1999, the NASDAQ index went from 1,300 to 4,000. This creates a positive drift in the series of returns. So, historical simulation without an adjustment for this drift would bias the simulated returns upward, thereby underestimating VAR.
请问能解释下D选项是什么意思吗?