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

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Author:Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan
Publisher:Abraham Silberschatz Professor, Henry F. Korth, S. Sudarshan
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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?
Transcribed Image 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?
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