The Variance-covariance (VCV hereafter) method estimates VaR by first assuming that a portfolio comprises a small number of risk factors (equities, commodities, etc.). Each risk factor is assumed to be drawn from some known theoretical distribution. The statistical distributions of these individual risk factors are combined to yield a single theoretical distribution for the returns of the entire portfolio. This distribution is then used to calculate the VaR of the portfolio. The VCV method is also known as an analytic or parametric method. It is considered the simplest of the suggested methodologies and thus is often used by banks and other financial institutions, for example, for calculating intra-day VaR figures. The VCV approach is generally used with a normal distribution, which significantly facilitates its calculation. Of course, other distributions can be used, but at a higher computational cost. The correct answer is C.