The decision to accept or reject a VaR model based on the results of a backtest that uses a two-tailed 95% confidence level is less reliable when applied to a 99% VaR model than when applied to a 95% VaR model.

The 95% VaR model is less likely to be rejected by a backtest than the 99% VaR model.

When using a two-tailed 90% confidence level test in a backtest, there is a smaller probability of incorrectly rejecting a 95% VaR model than a 99% VaR model.

Using a 99% VaR model will lower the probability of committing both Type I error and Type II error.