Risk manager wants to know if VaR violations of the risk model are independent, and ask you to backtest. Your team has calculated hit sequence and got you the following counts. Conduct the appropriate...


Risk manager wants to know if VaR violations of the risk model are independent, and ask you to backtest. Your team has calculated hit sequence and got you the following counts. Conduct the appropriate hypothesis testing. What is your null hypothesis? What is your test statistic? What is your conclusion?




































P




1%




T0



242




T1



10




T00



230




T01



10




T10



10




T11



1




Jun 09, 2022
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