Explain why backtesting and capital adequacy lead to diametrically opposed choices for the confidence level and horizon.

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Value at Risk The New Benchmark for Managing Financial Risk

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Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:12 AM

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Explain why backtesting and capital adequacy lead to diametrically opposed choices for the confidence level and horizon.

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To conclude I can say that backtesting is better ...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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