Delta and gamma are measures of the movement in an option price, given
a movement in the underlying. The other answers can reflect some
elements of derivatives risk, but they are not direct measures of the risk.
Portfolio Management MCQ - Portfolio Management Section 2
VaR measures a minimum loss expected over a holding period a certain
percentage of the time. It is not an expected loss nor does it reflect the
maximum possible loss, which is the entire equity of the organization.
Scenario analysis and stress testing both examine the performance of a
portfolio subject to extreme events. The other two answers are metrics
used in portfolio analysis but are not typically associated with extreme
events.
Insurance works by pooling risks. It is not necessarily less costly than
derivatives nor does it have lower loss limits.
The VaR measure indicates the probability of a loss of at least a certain
level in a time period.
