binomial test
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GARP.FRM.PQ.P1 VAR Exceedances (garp10-p1-39)
In 2006, UBS reported no exceedences on its daily 99% VaR. In 2007, UBS reported 29 exceedances. To test whether the VaR was biased, you consider using a binomial test. Assuming no serial correlation, 250 trading days, and an accurate VaR measure, you calculate the probability of observing n...- Priyanka_Chandak23
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- binomial test exceedances garp2010-p1-39 var
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- Forum: P1.T4. Valuation & Risk Models (30%)