FRM -Quants Hypothesis

anbu.edu
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FRM -Quants Hypothesis

Postby anbu.edu » Mon Jul 29, 2013 1:10 pm

79.1 Assume a bank conducts a four-year (1,000 days) backtest of their 99% value at risk (VaR) model. The backtest is conducted at a 95% level of test confidence, such that the model is accepted ("accurate VaR model") if the number of exceptions fall within a range of 4 and 17. What is the ALTERNATIVE hypothesis?
a) Losses exceed VaR with probability = 1.0%
b) Losses exceed VaR with probability = 5.0%
c) Losses exceed VaR with probability <> 1.0%
d) Losses exceed VaR with probability <> 5.0%

I don't know the answer and wats <>1% means

Source- from web

vighnesh.mehta
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Joined: Tue Sep 03, 2013 1:16 pm

FRM -Quants Hypothesis

Postby vighnesh.mehta » Thu Sep 05, 2013 2:04 am

The correct answer is B. As we are back testing the VAR model at the 95% confidence interval.

vighnesh.mehta
Good Student
Posts: 16
Joined: Tue Sep 03, 2013 1:16 pm

FRM -Quants Hypothesis

Postby vighnesh.mehta » Thu Sep 05, 2013 2:04 am

The correct answer is B. As we are back testing the VAR model at the 95% confidence interval.


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