hard · FRM Part 1 Valuation and Risk Models
A risk manager is performing a 'backtest' of a 99% one-day VaR model over a 250-day window.
If the model is correctly calibrated, what is the probability of observing exactly 5 exceptions using the binomial distribution?
- 92.00%
- 1.00%
- 10.50%
- 6.66%
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