var-exceptions
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P2.T5.712. Backtesting value at risk (VaR) exceptions (Jorion Ch.6)
Learning objectives: Define backtesting and exceptions and explain the importance of backtesting VaR models. Explain the significant difficulties in backtesting a VaR model. Verify a model based on exceptions or failure rates. Questions: 712.1. Sally the risk manager is backtesting her...- Nicole Seaman
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