The back-testing rules of the Basel Committee can lead to questions about a VaR model when there

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The back-testing rules of the Basel Committee can lead to questions about a VaR model when there are 5 or more exceptions in 250 trials. What is the chance of this if the VaR methodology is perfectly accurate?

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Risk Management And Financial Institutions

ISBN: B008AUN1VW

1st Edition

Authors: John C Hull

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Question Posted: Jul 11, 2024 02:02 AM

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The back-testing rules of the Basel Committee can lead to questions about a VaR model when there

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Risk Management And Financial Institutions

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