|
Correct answer is B
A is incorrect. Monte Carlo simulation can be used with a lognormal distribution.
B is correct. Monte Carlo simulation can generate distribution for portfolios that contain linear as well as non-linear positions.
C is incorrect. Monte Carlo simulation is computationally very intensive.
D is incorrect. Assuming the underlying process is normal, the standard error is inversely related to the square root of the number of trials.
Reference: Jorion, Value-at-Risk, Chapter 12.
Type of Question: Quantitative Analysis | 
发表于 2009-6-13 10:23
| 