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：
A. Data problems
B. Differences in model assumptions
C. Endogenous model risk
D. 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).
