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  1. Nicole Seaman

    P1.T2.719. One- versus two-tailed hypothesis tests (Miller Ch.7)

    Learning objectives: Differentiate between a one-tailed and a two-tailed test and identify when to use each test. Interpret the results of hypothesis tests with a specific level of confidence. Demonstrate the process of backtesting VaR by calculating the number of exceedances. Questions...
  2. F

    Miller - End of Chapter question - Hypothesis testing and Confidence Intervals

    Question 4: Suppose you invest in a product whose returns follow a uniform distribution between −40% and +60%. What is the expected return? What is the 95% VaR? The expected shortfall? Answer: The expected return is +10%. The 95% VaR is 35% (i.e., 5% of the returns are expected to be worse than...