What is the method of testing how often a VaR with a certain confidence level was exceeded in the past called?
A) Stress testing
B) Back testing
C) EWMA
D) The model-building approach

Question

Quizplus · Accepted Answer

Back testing involves examining how well a particular VaR methodology would have worked in the past.It counts exceptions,which are situations where the VaR level that would have been calculated,was exceeded.

What Is the Method of Testing How Often a VaR