Backtesting Q15 Here we are trying to minimize the probability of type II error. To achieve this, we will increase the probability of type I error by decreasing VaR confidence level (say from 99% to 95%) – option C However, the correct ...
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Here we are trying to minimize the probability of type II error. To achieve this, we will increase the probability of type I error by decreasing VaR confidence level (say from 99% to 95%) – option C However, the correct answer is ...