Answered: Risk manager wants to know if VaR…

Name: Risk manager wants to know if VaR violations of the risk model are ind
Uploaded: 2024-03-20T07:07:00.000Z
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Description: 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?

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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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

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