I was reading the differences between Delta-Gamma and Delta-normal method for VaR. One of the difference I found is mentioned below, but I can't understand it's importance. Can anybody please explain this?
The improved accuracy by the Delta-Gamma method comes at the cost of at least some reduced tractability relative to the Delta-Normal model. In using Delta- Gamma approach we might lose normality in our portfolio return even if changes in the underlying risk factors are normally distributed