backtesting var

  1. K

    P2.T5.R36 If model underestimates risk why would too little capital be allocated?

    Hi @David Harper CFA FRM Regarding P2.T5.R36 on page 3 of the Jorion Chapter 6 Study Notes about Backtesting & Exceptions I'm a bit confused by: "When too many exceptions are observed, the model is “bad” and underestimates risk. This is a major problem because too little capital may be...
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