backtesting-var

Hi, I have the following understanding - Does this make sense or am I missing something here? We may choose to accept a 99% VAR model with 95% or 99% (or any other) level of confidence. Hence, using Jorian's example from book, assuming we use a 99% VAR (i.e. p=.01), over 250 days (i.e. T=250)...

@David Harper CFA FRM In Backtesting VAR chapter, one idea is shared wherein its been told that we can't use actual returns for VAR backtesting as they are volatile so we either use hypothetical returns or cleaned returns. Can you give one example as to how we get hypothetical returns from...

Learning objectives: Differentiate between a one-tailed and a two-tailed test and identify when to use each test. Interpret the results of hypothesis tests with a specific level of confidence. Demonstrate the process of backtesting VaR by calculating the number of exceedances. Questions...

Hi David, Pls elaborate more on the answer provided to below question.To my understanding, we should have selected the answer c), since it exceeds the value (5) for 99% confidence. Text highlighted in red is not clear. 207.1. A bank's VaR, calibrated with 99% confidence and a one-day...