Back-testing VaR is: (a) Not relevant. All of the underlying assumptions are correct and hold in reality.
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Back-testing VaR is:
(a) Not relevant. All of the underlying assumptions are correct and hold in reality. Similar assumptions are used in most financial models.
(b) Extremely important. There are many underlying assumptions, which may or may not hold in reality.
(c) A waste of time. It’s just a guess after all.
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The answer to this is b Extremely important There are many underlying assumptions which may or ma...View the full answer
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