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

Question:

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.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For book-img-for-question

Risk Management And Financial Institutions

ISBN: 9781119932482

6th Edition

Authors: John C Hull

See More Books

Question Posted: Mar 03, 2024 03:00 AM

See More Questions

Suppose that we back-test a VaR model using 1,000 days of data. The VaR confidence level is 99% and we observe 15 exceptions. Should we reject the model at the 5% confidence level? Use Kupiecs...
Design a Java class that represents a cache with a fixed size. It should support operations like add, retrieve, and remove, and it should evict the least recently used item when it reaches capacity.
can someone solve this Modern workstations typically have memory systems that incorporate two or three levels of caching. Explain why they are designed like this. [4 marks] In order to investigate...
7:14 pm Sun 21 Mar < moodle.uowplatform.edu.au Expected return FIN 223 Investment Analysis Tutorial 3 Portfolio Theory 1. How does the level of risk aversion affect the curvature of indifference...
Sometimes your motivations are clear and predictable. At other times, you are motivated by deeper forces. To understand your motivations at a deeper level, examine two categories of motivation:...
a. The speed of light in air is known to be 3.0 x 10 8 s m/s. Outline how you would use a refraction experiment to deduce the speed of light in glass. You may draw a diagram if it helps to clarify...
The hose shown in Fig. P8.68 will collapse if the pressure within it is lower than 10 psi below atmospheric pressure. Determine the maximum length, $\ell$, allowed if the friction factor is 0.015...
Montana Cycles started July with 25 bicycles that cost $36 each. On July 16, Montana bought 35 bicycles at $60 each. On July 31, Montana sold 33 bicycles for $105 each. Requirements 1. Prepare...
2. Write a program in python to get the number from the user using GUI. Use 2 command buttons one to check whether the number is an amstrong number If the given number is a amstrong, display it is a...
Explain what is meant by bunching.
Explain carefully the differences between marginal VaR, incremental VaR, and component VaR for a portfolio consisting of a number of assets.
To pay off $50,000,000 worth of new construction bonds when they come due in 20 years, a water municipality must deposit money into a sinking fund. Payments to the fund will be made quarterly,...
Given the cost function and economies of scale and scope information reviewed in this chapter, does a policy encouraging large, centralized hospitals seem wise? Will market forces tend to reward...
If we are trying to relate output to labor inputs and capital inputs using regression analysis, would we expect the coeffi cients of the regressions to be positive or negative? Why?
Economists defi ne the elasticity of substitution as the percentage change in the capital/ labor ratio elicited by a 1 percent change in the factor price (wages/capital costs, for example) ratio....
Using the creative thinking guidelines, think about how you would increase the usage of products or services if you were the manager of: a. Doritos b. Charles Schwab e. GAP
B. Croft has a job as a car salesman. He is paid a basic salary of 200 per month, with a commission extra of 2 per cent on the value of his car sales. During the month of April 2012 he sells 30,000...
Everybody knew Ed McAlister was a brilliant businessman. He had taken a small garbage collection company in Kentucky and built it up to be one of the largest and most profitable waste management...
From 1970 to 1990, Sri Lanka's population grew by approximately 2.2 million persons every five years. The population in 1970 was 12.2 million people.What is the best formula for P, Sri Lanka's...
Look at the data in Table 28.1. Is Lending Club good at assessing risk? Is there a reasonable trade-off between risk and return for lenders? What risks are lenders taking?
A fund's risk appetite is such that it wants to be 97.5% certain it will not lose more than 25% in any one year. Using the performance of the S&P 500 between 1997 and 2016 (see Table 27.2), determine...
A bank has a business indicator (BI) of of 5.5 billion euros. It has had eight operational risk losses in the last 10 years. The amounts of the losses in millions of euros are: 3, 7, 15, 65, 85, 150,...
Divide. 25 -11y u + 15yu -3y us Simplify your answer as much as possible.
Question 1)Determine whether the set is a vector space. If it is not, identify at least one of the ten vector space axioms that fails. a) The set of all 2 2 matrices of the form [a b] C b) The set...
The total number of people at a football game was 5 6 0 0 . Field - side tickets were 4 0 dollars and end - zone tickets were 2 0 dollars. If the total amount of money received for the tickets was $...

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

Question:

Step by Step Answer:

The probability of 17 or m...View the full answer

Risk Management And Financial Institutions

Students also viewed these Business questions