easy · FRM Part 2 Market Risk
In the Kupiec Likelihood Ratio test, what does the null hypothesis (H_0) state?
- The total number of VaR exceptions observed must equal zero exactly.
- The true probability of an exception is equal to the target level (1 - α).
- The model's Expected Shortfall must be less than its reported VaR figure.
- The exceptions observed must be statistically independent and identically distributed.
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