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Auburn University Operations And Supply Chain Management Assignment Help - yield results


Question - In early 2000, a risk manager calculates the VAR for a technology stock fund based on the last 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?
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

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