56 Problem Based on a 90% confidence level, how many exceptions in back testing a VAR model should be expected over a 250 day trading year? Solution 
{"Image DocumentName": "So we cannot reject the model at 5% significance level.", "Image ImageDescription": "Problem. We are currently feeding a model with 600 days of data. The VAR confidence level is 99%. Nine exceptions are observed. Should we reject the model? Suppose it had been 12. Would we reject the model? Solution. 1 \u2013 Binomdist (8, 600, .01, True) = So we cannot reject the model at 5% significance level. 1 \u2013 Binomdist (11, 600, .01, True) = So we would reject the model at 5% significance level. Ref : John C Hull, Options, Futures and Other Derivatives.", "Image XResolution": "37", "Image YResolution": "37", "Image ResolutionUnit": "Pixels/Centimeter", "Image Software": "SlidePlayer", "Image YCbCrPositioning": "Centered"}