Suppose that a 95% VaR model is back-tested using 500 days of trading data. If 15 exceptions

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

Question:

Suppose that a 95% VaR model is back-tested using 500 days of trading data. If 15 exceptions were observed, should the model be rejected at the 95% level of confidence?

Related Book For answer-question

Statistics for Engineers and Scientists

ISBN: 978-0073401331

4th Edition

Authors: William Navidi

See More Books

Posted Date: Jun 13, 2022 07:30 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...
Suppose we commute a 95 percent confidence interval for 1 - 2. If the interval is a. [3, 5], can we be 95 percent confident that 1, is greater than 2? Why or why not? b. |3, 5], can we be 95 percent...
Suppose an FIs portfolio VAR for the previous 60 days was $3 million and stressed VAR for the previous 60 days was $8 million using the 1 percent worst case (or 99th percentile). Calculate the...
47GP: Chapter: CH0 CH1 CH2 CH3 CH4 CH5 CH6 CH7 CH8 CH9 CH10 CH11 CH12 CH13 CH14 CH15 CH16 CH17 CH18 CH19 CH20 CH21 CH22 CH23 CH24 CH25 CH26 CH27 CH28 CH29 CH30 Problem: 1CQ 1MCP 1P 2CQ 2MCP 2P 3CQ...
Using the notation O/S (overstated), U/S (understated), or No (no effect), indicate the effects on assets, liabilities, and shareholders equity of failing to record or recording incorrectly each of...
Winemiller (1990) deleted "weak" trophic links from one set of food webs that he described for fish communities in Venezuela (see fig. 17.3). What was his criterion for designating weak interactions?...
What are the different ways in which a defendant may be served with process?
Klamath Company produces a single product. The projected income statement for the coming year is as follows: Sales (54,600 units @ $34) ........$1,856,400 Total variable cost...
Party City Manufacturing makes a product called the Professional Shade Event Tent (Pro-Shade). Party City sells 50,000 units each month for $230.00 each. Monthly manufacturing costs incurred are...
Answer true or false to each of the following. Briefly explain your reasoning for each answer. a. If a company gets into financial difficulty, it can use some of its shareholders equity to pay its...
(a) Use induction to prove that for all integers h 0, h == 2k 2h+11. k=0 (b) Use part (a) to prove that the complete binary tree of height h has exactly 2h+1-1 vertices. Note: there is an alternate...
What is the output of the following? A. over the river B. through the woods C. to grandmother's house we go D. None of the above. var s = Stream.of ("over the river", "through the woods", "to...
Which statements about stateful lambda expressions are correct? (Choose two.) A. Stateful lambda expressions should be avoided on both serial and parallel streams. B. Stateful lambda expressions...
Which functional interface, when filled into the blank, allows the class to compile? A. Consumer B. Function C. Supplier D. UnaryOperator E. None of the above. package sleep; import java.util....
There is much talk today about the demise of development planning. Many observers assert that development planning has been a failure. List and explain some of the major reasons for plan failures....
What are the principal sources of government revenues in developing countries? Why are many taxes so difficult to collect? Discuss.
Wild Blue Sushi is going to run a series of targeted ads to try to attract more lunch business. The total cost of the promotion is $1,500. An average customer order at Wild Blue Sushi is $13.50...
The trade-off theory relies on the threat of financial distress. But why should a public corporation ever have to land in financial distress? According to the theory, the firm should operate at the...
The target fill weight for a box of cereal is 350 g. Each day a sample of 300 boxes is taken, and the number that are underweight is counted. The number of underweight boxes for each of the last 25...
The article Traps in Mineral ValuationsProceed With Care (W. Lonegan, Journal of the Australasian Institute of Mining and Metallurgy, 2001:1822) models the value (in millions of dollars) of a mineral...
Scores on an IQ test are normally distributed. A sample of 25 IQ scores had variance s 2 = 64. The developer of the test claims that the population variance is 2 = 225. Do these data provide...
Mark Miller started his own delivery service, Miller Deliveries, on June 1,2008. The following transactions occurred during the month of June. Instructions (a) Show the effects of the previous...
Laura Geller started her own consulting firm, Geller Consulting, on May 1, 2008. The following transactions occurred during the month of May. Instructions (a) Show the effects of the previous...
On June 1, Michelle Bullock started Divine Cosmetics Co., a company that provides individual skin care treatment, by investing $$26,200$ cash in the business. Following are the assets and...

Suppose that a 95% VaR model is back-tested using 500 days of trading data. If 15 exceptions

Question:

Expert Answer:

The model should not be rejected at the 95 level of confid... View the full answer

Statistics for Engineers and Scientists

Students also viewed these general management questions