How to Calculate Value at Risk (VaR) for Financial Portfolios
How to Calculate Value at Risk (VaR) for Financial Portfolios
6 months ago
investopedia.com
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 the one-tail test discussed in class.
Suppose that we back-test a VaR model using 1,000 days of data. T…
Jun 19, 2023
numerade.com
A bank has backtested its VaR model on a set of 500 observation... | Filo
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