Suppose that we backtest a VaR model using 1,000 days of data. The VaR confidence level is

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Suppose that we back‐test a VaR model using 1,000 days of data. The VaR confidence level is 99% and we observe 17 exceptions. Should we reject the model at the 5% confidence level? Use a one‐tailed test.

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Risk Management And Financial Institutions

ISBN: 9781119932482

6th Edition

Authors: John C Hull

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Question Posted: Mar 03, 2024 03:00 AM

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Suppose that we backtest a VaR model using 1,000 days of data. The VaR confidence level is

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Risk Management And Financial Institutions

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