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Which of the following statements about var estimation

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Which of the following statements about VAR estimation methods is wrong?

A. The delta-normal VAR method is more reliable for portfolios that implement portfolio insurance through dynamic hedging than for portfolios that implement portfolio insurance through the purchase of put options.

B. The full valuation VAR method based on historical data is more reliable for large portfolios that contain significant option-like investments than the delta-normal VAR method.

C. The delta-normal VAR method can understate the true VAR for stock portfolios when the distribution of the return of the stocks has high kurtosis.

D. Full valuation VAR methods based on historical data take into account nonlinear relationships between risk factors and security prices.

Reference no: EM13568715

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