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Every day for the last 10 years, I have measured the 10 day, 99% Value-at-Risk (VaR) on a stock index using my favourite VaR model.
Every day for the last 10 years, I have measured the 10 day, 99% Value-at-Risk (VaR) on a stock index using my favourite VaR model. Outline two ways that I can backtest the quality of my VaR model using the history of its VaR forecasts and historically observed returns.
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