exceedances

  1. Nicole Seaman

    P1.T2.719. One- versus two-tailed hypothesis tests (Miller Ch.7)

    Learning objectives: Differentiate between a one-tailed and a two-tailed test and identify when to use each test. Interpret the results of hypothesis tests with a specific level of confidence. Demonstrate the process of backtesting VaR by calculating the number of exceedances. Questions...
  2. P

    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...
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