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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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Q-33. A risk manager is analyzing a 1-day 99% VaR model. Assuming 225 days in a year, what is the maximum number of daily losses exceeding the 1-day 99% VaR that is acceptable in a 1-year backtest to conclude, at a 95% confidence level, that the model is calibrated correctly?

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