Use kupiec two-tailed test

Assignment Help Finance Basics
Reference no: EM13295795

Suppose that we back-test a VaR model using 1,000 days of data. The VaR confidence level is 99% and we observe 15 exceptions. Should we reject the model at 5% confidence level. Use Kupiec's two-tailed test.

Reference no: EM13295795

Questions Cloud

What are the advantages of establishing pay rangers : What are the advantages of establishing pay rangers, rather than specific pay levels, for each job. What are the drawbacks to this approach?
What is the value of a perpetuity with an annual payment : What is the value of a perpetuity with an annual payment of $100 and a discount rate of 6%?
Under the digital millennium act : Under the Digital Millennium Act, online service providers, such as universities, can avoid liability if they take certain steps specified in the Act. These include cases when the university has been informed of an infringement, shutting off access t..
Explain the required cstr volume : Determine the required CSTR volume, V (in gallons), and hydraulic residence time, in V/Q (hours), to comply with the current industrial pretreatment permit limitation for phenol
Use kupiec two-tailed test : Suppose that we back-test a VaR model using 1,000 days of data. The VaR confidence level is 99% and we observe 15 exceptions. Should we reject the model at 5% confidence level. Use Kupiec's two-tailed test.
Write an expression for the position of the mass : A mass of 0.25 kg is attached to a horizontal spring with a spring constant of 4.0 N/m. Write an expression for the position of the mass as a function of time
Was this a just result under nozicks view of property right : In 1962, the Atlantic Cement Company began operating a cement plant outside of Albany, New York. The company employed over 300 local residents, and by 1970, had invested $45 million in the plant. The plant emitted large amounts of pollution, however,..
An expert panelist at the next society for human resource : Assume that you have been selected as an expert panelist at the next Society for Human Resource Management seminar to discuss the future of federal employees. Discuss at least two points that you would address in your speech regarding their fut..
Write an expression for the position of the mass : A mass of 0.25 kg is attached to a horizontal spring with a spring constant of 4.0 N/m. Write an expression for the position of the mass as a function of time

Reviews

Write a Review

Finance Basics Questions & Answers

  Compute firms retained earnings balance

A company had a year end 2004 retained earnings balance of $220,000. The company reported net profits after taxes of $50,000 in 2005 & paid dividends in 2005 of $30,000.

  Determine company cost of equity

Chandeliers Corp. has no debt but can borrow at 7.4%. The firm's WACC is currently 9.2%, and the tax rate is 35%.

  Determine break even point

Student A is considering to finance her college education by selling programs at the football games for school. There is a fixed cost of $400 for printing these programs, and the variable expense is $3.00.

  What will the operating cash flow for this project be

The truck will have no effect on revenues, but it is expected to save the firm $20,000 per year in before-tax operating costs, mainly labor. The firm's marginal tax rate is 40 percent. What will the operating cash flow for this project be during y..

  How much can the investor expect in annual interest

Tangshan Coal, Inc. just issued a 10 percent, 25-year bond with a $1,000 par value that pays interest semiannually. (a) How much can the investor expect in annual interest (in dollars)?

  What is the required rate of return on a portfolio

What is the required rate of return on a portfolio consisting of 80% of Stock X and 20% of Stock Y?

  Determine price of stock

Gary Wells Corporation consider to issue perpetual preferred stock with an annual dividend of $6.50 per share. If the required return on this preferred stock is 6.5 percent,

  Importance of hiring right people for specific jobs

It is significant for companies to hire the right people for jobs? What is the process for hiring the person in order to fill a specific position?

  Explain the logic behind the establishment of gold standard

Why would a multinational be willing to issue a bond in a foreign country and what would be the motivation?  How can they attempt to minimize their risk is they do issue these bonds?

  Computing tax incidences for seller and buyer

Compute deadweight loss from this $1 per unit tax and how much tax revenue government will get from tax. In determining tax incidence burden, compute tax incidences for both seller and buyer and sketch graph.

  Issues set out in the assignment

Assignment requires you to address the issues set out in the assignment. The task is to be done in group of TWO (2). The assignment has two parts, A and B. Part A requires you to set up a company and process a number of transactions using MYOB.

  Calculate the average collection period for each year

The Robinson Company from Problem 2 had net sales of $1,200,000 in 2010 and $1,300,000 in 2011.

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd