backtesting-var

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...

Hi, I have the following understanding - Does this make sense or am I missing something here? We may choose to accept a 99% VAR model with 95% or 99% (or any other) level of confidence. Hence, using Jorian's example from book, assuming we use a 99% VAR (i.e. p=.01), over 250 days (i.e. T=250)...

@David Harper CFA FRM In Backtesting VAR chapter, one idea is shared wherein its been told that we can't use actual returns for VAR backtesting as they are volatile so we either use hypothetical returns or cleaned returns. Can you give one example as to how we get hypothetical returns from...

Hi David, Pls elaborate more on the answer provided to below question.To my understanding, we should have selected the answer c), since it exceeds the value (5) for 99% confidence. Text highlighted in red is not clear. 207.1. A bank's VaR, calibrated with 99% confidence and a one-day...