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    Expected - / Unexpected Loss and Economic Capital

    This is a very usefull post however the links seem broken. Can the links be fixed or updated to the correct links if available?
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    Backtesting Var models

    Very helpful. Thank you.
  3. N

    Backtesting Var models

    In the study notes it is mentioned that a good model will produce approx. the number of expected exceptions and an example of 95% VaR model is used over 250 days. The computation shows that it will produce approximately 5% * 250 days = 25 days exception. Is that a typo? Should it not be 12.5...
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