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  1. Nicole Seaman

    YouTube T2-13 Type I versus II error and power

    Type I error mistakenly rejects the true null. The Type II error mistakenly accepts a false null. Significance, α, is the desired Prob[Type I error]. Power is 1 - β = 1 - Prob[Type II error] but is more difficult to compute because, while there is only one true null, there can be many false...
  2. Nicole Seaman

    P2.T5.713. Backtesting in the Basel rules (Jorion Ch.6)

    Learning objectives: Define and identify type I and type II errors. Explain the need to consider conditional coverage in the backtesting framework. Describe the Basel rules for backtesting. Questions: 713.1. In comparison to Basel III, which itself essentially incorporated the previous...