问题如下:
In the early 2000s, Jane was calculating the VAR for a technology stock fund based on data from the past three years, which has an investment strategy of buying stocks and writing out-of-the money put options. Which of the following methods results in the most inaccurate VAR values?
选项:
A. Historical simulation based on 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.
考点:Advantages and disadvantages of Non-parametric methods
解析:回答本题需要了解一定的历史背景。在1996-1999年,科技股呈现出上涨的泡沫,所以只依赖2000年之前三年的历史数据会低估VAR值。
在A和D两个选项中,A选项虽然用的是历史模拟法,但基于full repricng后, 对公司信息和其它因素重新做了模型定价,因此受历史情况影响小一些。因此,D最不准确。
想问下full repricing和drift的概念是在基础班的什么地方呢?