In the presence of fat tails in the distribution of returns, VaR based on the delta-normal method would (for a linear portfolio): | Financial Risk Manager Part 1 Quiz - LeetQuiz
Financial Risk Manager Part 1
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In the presence of fat tails in the distribution of returns, VaR based on the delta-normal method would (for a linear portfolio):
Exam-Like
A
Underestimate the true VaR.
B
Be the same as the true VaR.
C
Overestimate the true VaR.
D
Cannot be determined from the information provided.
