Beyond Exceedance-Based Backtesting of VaR Models - FRM Part 2 2025 Book 1 Chapter 7

This video lesson explores advanced backtesting methods for Value-at-Risk (VaR) models beyond traditional exceedance-based approaches, specifically focusing on probability integral transforms (PITs) for FRM Part 2 candidates. Learn to identify properties of accurate VaR models in exceedance-based backtests and how these translate to PIT-based validation techniques. Understand the derivation of probability integral transforms, interpret how PIT distribution shapes indicate model quality, and compare different goodness-of-fit tests including Kolmogorov-Smirnov, Anderson-Darling, and Cramér-von Mises tests. This 24-minute GARP-Approved preparation video from AnalystPrep covers all essential concepts from Chapter 7 of Book 1 in the 2025 FRM Part 2 syllabus.