问题如下:
Which of the following statements regarding verification of a VaR model by examining its failure rates is false?
选项:
A.The frequency of exceptions should correspond to the confidence level used for the model.
B.According to Kupiec (1995), we should reject the hypothesis that the model is correct if the LR > 3.84.
C.Backtesting VaR models with lower confidence levels is difficult because the number of exceptions is not high enough to provide meaningful information.
D.The range for the number of exceptions must strike a balance between the chances of rejecting an accurate model (a Type I error) and the chance of accepting an inaccurate model (a Type II error).
解释:
Backtesting VaR models with higher confidence levels is difficult because the number of exceptions is not high enough to provide meaningful information.
有没有confidence level的定义,可以解释一下吗,谢谢,alpha和1-alpha的具体那个是confidence level,另一个叫什么,谢谢