You are managing a portfolio that tracks the S&P 500 index. You consider two ways in which

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You are managing a portfolio that tracks the S&P 500 index. You consider two ways in which you might calculate the VaR:

(a) Using the delta-normal approach by calibrating the mean and variance of the portfolio to the historical data.

(b) Using historical simulation based on the same data.

Which one would you expect to provide a riskier picture of the portfolio?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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You are managing a portfolio that tracks the S&P 500 index. You consider two ways in which

Question:

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Since both models are running off the same data they have the same ...View the full answer

Derivatives Principles And Practice

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