Which of the following is NOT true about the model building method for calculating VaR?

[2 marks]

Select one:

a.

It assumes that what will happen in the future is a random sample from what has happened in the past.

b.

The daily change in the value of a portfolio is linearly related to the daily returns from market variables.

c.

The distribution of the daily return on an option is normal

d.

It is equivalent to the variance-covariance approach

e.

Change in the value of the portfolio is normally distributed.