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Suppose that we back-test a VaR model using 300 days of data. The VaR confidence level is 99% and we observe 10 exceptions. Do we
Suppose that we back-test a VaR model using 300 days of data. The VaR confidence
level is 99% and we observe 10 exceptions. Do we reject the model?
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Statistical Sampling And Risk Analysis In Auditing
Authors: Peter Jones
1st Edition
1138263214, 978-1138263215
