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Reasons Value At Risk is difficult to use for portfolios containing options:

February 18, 2018

Therefore without the assumption of normal returns it is difficult to estimate VaR.

It is also difficult to calculate covariance between two options or an option and the underlying.

2 Comments
  1. Now that I got over 1000 posts I really should link logically. Except it is so tiring just making and typing out all the flashcards, going back and optimizing the HTML and search engine performance is a task best left until after the exam.

    • Now that I’m done with the Level 3 exam and waiting for my results I am going through every post and trying to link and improve the tags and fix typos etc.

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