All Questions
Tagged with statistical-significance value-at-risk
2 questions
1
vote
1
answer
102
views
question about significance level
A case study in a exam material goes like this:
"Assume that the bank reports a daily VAR of \$100 million at the 99% level of confidence. Under the null hypothesis that the VAR model is ...
- 213
2
votes
0
answers
340
views
Testing Statistical Significance of Various Portfolio Simulations
I'm trying to determine which of my portfolio simulations/backtests if any are good enough to put some money into. I outline an approach below and I'm interested in knowing:
What problems are there ...
- 41