A bank reports 6 exceptions to its 99 percent VAR over the last year (252 days), including

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A bank reports 6 exceptions to its 99 percent VAR over the last year (252 days), including 4 that follow another day of exception. Compute the likelihood-ratio tests, and discuss whether unconditional and conditional coverage is rejected.

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Question Posted: May 03, 2016 02:14 AM

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A bank reports 6 exceptions to its 99 percent VAR over the last year (252 days), including

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We build an exception table The fraction of exceptions is 625224 compared to the target ...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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