Should we reject the model at the 5% confidence level

Reference no: EM133377578

Question: Suppose that we back-test a VaR model using 1,500 days of data. The VaR confidence level is 99% and we observe 18 exceptions. Should we reject the model at the 5% confidence level? Use Kupiec's two-tailed test.

Reference no: EM133377578

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