Question
A backtest of 2.5% VaR with 500 observations yields 20 exceedances. Compute the unconditional coverage statistics for this backtest. The 1% and 5% critical values
A backtest of 2.5% VaR with 500 observations yields 20 exceedances. Compute the unconditional coverage statistics for this backtest. The 1% and 5% critical values for the chi-squared distribution with 1 degree of freedom are 6.6349 and 3.8415.
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Public Finance A Contemporary Application of Theory to Policy
Authors: David N Hyman
11th edition
9781305474253, 1285173953, 1305474252, 978-1285173955
