Hi David,
A bit confused as to why below answer is not correct?
A. The 95% VaR model is less likely to be rejected using backtesting than the 99% VaR model.
To my understanding, we are supposed to reject the model if the z value computed below is greater than the value of the confidence level...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.