Say that a bank reports 9 exceptions to its 99 percent daily VAR over the last year

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Say that a bank reports 9 exceptions to its 99 percent daily VAR over the last year (252 days). Give two interpretations of this observation.

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Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

3rd edition

Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:14 AM

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Say that a bank reports 9 exceptions to its 99 percent daily VAR over the last year

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Value at Risk The New Benchmark for Managing Financial Risk

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