The VaR at a 99% confidence level is estimated to be 2.56 from a historical simulation of 1,000 observations. Which of the following statements is most likely true?
　　A.The parametric assumption of normal returns is correct.
　　B.The parametric assumption of lognormal returns is correct.
　　C.The historical distribution has fatter tails than a normal distribution.
　　D.The historical distribution has thinner tails than a normal distribution.
　　Answer: C
　　The historical simulation indicates that the 1% tail loss begins at 2.56, which is over 2.33 predicted by a standard normal distribution. Therefore, the historical simulation has fatter tails than a standard normal distribution.
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