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Q-28. A risk manager is concerned that his value at risk (VaR) model is complicated by intraday changes as well as profit and loss factors. Which of the following backtesting techniques will most likely mitigate these issues? Backtest the VaR model using:
A
shorter time periods, such as one year as opposed to five years.
B
daily holding period returns.
C
a higher confidence level, such as 99%.
D
a lower confidence level, such as 95%.