David Harper CFA FRM
@jonkong thanks, i didn't mean to suggest you didn't know where you were . It's very interesting (I am still processing this thread). Of course @raspberry.cookie gives the justification: it's a binomial problem so technically it's fair, you can argue. But, on the other hand, it's easier if you've practiced VaR backtest questions. Because if it's the first time you've seen it, I could see how "backtest" actually throws you off. I think a lot depends on the wording, the backtest question can be worded in different ways to make it harder/easier to reveal as essentially a binomial question. But i think your comment is instructive: they "borrowed" from a P2 idea (backtest) to query to the P1 topic (binomial).