Answered: Suppose that a 95% VaR model is…

Suppose that a 95% VaR model is back-tested using 500 days of trading data. If 15 exceptions were observed, should the model be rejected at the 95% level of confidence?

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Suppose that a 95% VaR model is back-tested using 500 days of trading data. If 15 exceptions were observed, should the model be rejected at the 95% level of confidence?

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