A backtest of 1% VaR with 100 observationsyields 20 exceedances I There are threegroups of two exceedances (0000110000)one group of three (00001110000) and onegroup of four (000111100000) I The otherseven exceedances are isolated(000010000) I Compute the conditional,independence and unconditional coveragestatistics for this backtest. What do youconclude?

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Answered: A backtest of 1% VaR with 100…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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