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

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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 Kupiec’s two-tailed test.

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Risk Management and Financial Institutions

ISBN: 978-1118955949

4th edition

Authors: Hull John

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Question Posted: Jul 30, 2015 03:10 AM

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

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In this case p 001 m 15 n 1000 Kupie...View the full answer

Risk Management and Financial Institutions

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