问一道题：NO.PZ2019052001000138

问题如下：

The risk management group estimates the 1-day 99% VaR on a long-only, large-cap equity portfolio using a variety of approaches. A daily risk report shows the following information:

1-day 99% VaR Estimates (by approach):

•   Delta-Normal VaR: USD 441,940

•   Monte Carlo Simulation VaR: USD 473,906

•   Historical Simulation VaR: 495,584

Which of the following is the most likely explanation for the variation in VaR estimates?

选项：

Data problems

Differences in model assumptions

Endogenous model risk

Programming errors

解释：

Explanation: VaR measures will vary according to the approach (delta-normal, historical simulation, Monte Carlo simulation). The variation in these values does not suggest bigger problems with data or programming/implementation nor is there any reason to suspect endogenous model risk (e.g., traders gaming the system to lower risk values).