A backtest of 1% VaR with 100 observations yields 20 exceedances I There are three groups of two exceedances (0000110000) one group of three (00001110000) and one group of four (000111100000) I The...


A backtest of 1% VaR with 100 observations<br>yields 20 exceedances I There are three<br>groups of two exceedances (0000110000)<br>one group of three (00001110000) and one<br>group of four (000111100000) I The other<br>seven exceedances are isolated<br>(000010000) I Compute the conditional,<br>independence and unconditional coverage<br>statistics for this backtest. What do you<br>conclude?<br>

Extracted text: A backtest of 1% VaR with 100 observations yields 20 exceedances I There are three groups of two exceedances (0000110000) one group of three (00001110000) and one group of four (000111100000) I The other seven exceedances are isolated (000010000) I Compute the conditional, independence and unconditional coverage statistics for this backtest. What do you conclude?

Jun 11, 2022
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