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VaR model Unconditional Coverage Tests: Is this extension of Kupiec POF test correct?

Background: Kupiec P. in 1995, published paper "Techniques for Verifying the Accuracy of Risk Management Models" on Journal of Derivatives, v3, P73-84, it's a Unconditional Coverage Tests designe for ...

asked Mar 8 at 10:14

athos
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VaR model Unconditional Coverage Tests: Is this extension of Kupiec POF test correct?

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