Question: Suppose that we backtest a VaR model using 1,000 days of data. The VaR confidence level is 99% and we observe 17 exceptions. Should we

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.

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