Your portfolio contains a massive short position in deep out-of-the-money put options. If you calculate VaR using the Delta-Normal method, what fatal risk are you missing? How would you report a more realistic risk to the CRO?

你的组合里持有大量深度虚值的看跌期权空头（short deep OTM puts）。如果你用Delta-Normal方法算VaR，会遗漏什么致命风险？你会怎么给CRO报送更真实的风险？