quiz - pro and con of analytical method to get VAR

list two Pros and two Cons of the analytica method (a.k.a. variance-covariance method or delta normal method) for estimating VAR

pro: 1. simple 2. less inputs required con: 1. normality assumption 2. can’t deal with the nonlinear securities

  1. Easy 2. allows modeling correlations of risks or can be applied to different period according to industrial custom 1. normal distribution 2. difficulty in estimating correlations in large portfolios