Q4
Single choice
Which of the following statements is true in respect of different approaches to calculating VaR?
I - Linear or parametric VaR does not take correlations into account II - For large portfolios with little or no optionality or other non-linear attributes, parametric VaR is an efficient approach to calculating VaR III - For large portfolios with complex sources of risk and embedded optionalities, the full revaluation method of calculating VaR should be preferred IV - Delta normal local revaluation based VaR is suitable for fixed income and option portfolios only