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 option D. Am I missing something?
We have to tick that option which is wrong, question states except for
You are correct, decreasing confidence level – increase alpha, increase Type 1 error and decrease Type II error