(Answered) Which of the following is most accurate with respect to

Finance

Which of the following is most accurate with respect to delta-normal VAR?

A. The delta-normal method provides accurate estimates of VAR for assets that can be expressed as a linear or nonlinear combination of normally distributed risk factors.

B. The delta-normal method provides accurate estimates of VAR for options that are at or near-the-money and close to expiration.

C. The delta-normal method provides estimates of VAR by generating a covariance matrix and measuring VAR using relatively simple matrix multiplication.

D. The delta-normal method provides accurate estimates of VAR for options and other derivatives over ranges even if deltas are unstable.

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