9.14 Suppose that we back-test a VaR model using 1,000 days of data. The VaR confidence level is 99% and we observe 15 exceptions.
Should we reject the model at the 5% confidence level? Use Kupiec’s two-tailed test.
VaR Model
![](https://generalwriters.com/wp-content/themes/Demet/images/date.png)
![](https://generalwriters.com/wp-content/themes/Demet/images/user.png)
9.14 Suppose that we back-test a VaR model using 1,000 days of data. The VaR confidence level is 99% and we observe 15 exceptions.
Should we reject the model at the 5% confidence level? Use Kupiec’s two-tailed test.