Compare and comment on the number of exceptions for both the S&P500 Index and the Shanghai Composite Index. From your comparison, is it reasonable to use the VaR model for the Chinese market compared to the US market?

 

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Table: Percentage of Exceptions | Total Back Test Fails Months in 2 3 6 9 10 12 lookback S&P 500 Index 42 63 126 189 210 252 Shanghai Index 42 63 126 189 210 252 Table: Percentage of Exceptions | Total Back Test Fails Months in 2 3 6 9 10 12 lookback S&P 500 Index 42 63 126 189 210 252 Shanghai Index 42 63 126 189 210 252

Answer rating: 100% (QA)

To compare and comment on the number of exceptions for both the SP 500 Index and the Shanghai Composite Index we can analyze the provided data on the ... View the full answer