I. Parametric delta-normal VaR is higher than historical VaR
II. II.The delta-normal method provides accurate estimates of VaR by generating a covariance (correlation) matrix and measuring VaR using relatively simple matrix multiplication.
III. III.If underlying returns are normally distributed (ND), then VAR will approach the delta-normal VAR as the number of replications increases
IV. IV.Historical simulation VAR will be in different from the delta-normal method, as the sample size increases, they converge when the returns are Normally distributed.
Choose one answer.