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)
Backtest (Jorion Fig6.2)
Cutoff (JP Morgan)
Confidence (Table 6.2)

2.725

4.198113 0.961538
2.579826

5.80%
5.50%
5.20%
4.80%
78.80%
100%

1.00
2.00
3.00
4.00
5.00

0.06
0.11
0.16
0.19
3.94

105.7692

p
T
0
1
2
3
4
5
6
7
8
9
10

81.791%
16.523%
1.586%
0.096%
0.004%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%

0.01
20
0.2
81.8%
98.3%
99.9%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%

190

0.00010

p
T
0
1
2
3
4
5
6
7
8
9
10

0.83451

1.59%

0.03
250
0.0%
0.4%
1.5%
3.8%
7.2%
10.9%
13.8%
14.9%
14.0%
11.6%
8.6%

0.0%
0.4%
1.9%
5.7%
12.8%
23.7%
37.5%
52.4%
66.3%
77.9%
86.6%

Correct model (p=0.01)

90.000%
80.000%
70.000%
60.000%
50.000%
40.000%
30.000%
20.000%
10.000%
0.000%
0

10

10

Incorrect model (p=3%)

16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
0

10

10

JP Morgan VaR
Days (T)

95%
252

Cutoff:

X
15
16
17
18
19
20
21
22
23
24
25

0.6937
0.9827
1.2718
1.5608
1.8498
2.1389
2.4279
2.7169
3.0060
3.2950
3.5841

51.2%
67.4%
79.7%
88.1%
93.6%
96.8%
98.5%
99.3%
99.7%
99.9%
100.0%

19.4

1.9600

95.0%

12.6
6.8
3.5

Probability
Level

Confidence
Level

510

510

1.00%

99.00%

5
0.002

5
0.002

2.50%

97.50%

2
14.321

12
0.046

5.00%

95.00%

6
22.411

20
1.344

7.50%

92.50%

11
28.627

28
3.253

10.00%

90.00%

16
35.508

36
5.407