Statements I, II, and III are correct.

Disadvantages of Monte Carlo simulation include:

• model risk;
• sampling variation if replications are small;
• and computational time and skill.

Disadvantages of the historical simulation method include:

• lack of historical data;
• use of actual data;
• time variation risk;
• inability to recognize structural change;
• and it may not be able to sufficiently define the distributions tails.

Disadvantages of the delta-normal method include:

• normality assumption results in VAR estimates that understate true VAR for distributions with fat tails;
• and it isn’t able to accurately estimate VAR for portfolios with nonlinear characteristics (i.e., portfolios with option-like positions).