The decision to accept or reject a VaR model based on backtesting results at the two-tailed 95% confidence level is less reliable using a 99% VaR model than using a 95% VaR model.

The 95% VaR model is less likely to be rejected using backtesting than the 99% VaR model.

When backtesting using a two-tailed 90% confidence level test, 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 1 and type 2 errors.