quiz - pro and con of analytical method to get VAR

CFA Level III
#1

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

#2

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

#3
  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