I have a certain problem with backtesting calculated earlier Value at Risk.
I've got calculated daily VaR with historical simulation method for stocks. I've used two values of alpha 0.05 and 0.1. Now, I want to backtest this values with Kupiec test. What alpha should I use for Kupiec test? When I'm using 0.05 alpha for VaR calculated with 0.1, I have to reject null hypothesis for all stocks. Is it normal? Or I should use 0.1 alpha for Kupiec test in this case for comparison between these two models.