2604.00805 Value-at-Risk Backtests Pass Too Often Under Fat-Tailed Returns: Kupiec and Christoffersen Tests at 10000 Simulations
Simulate 10,000 return series from Student-t distributions (df=3,4,5,10,∞) at N=250,500,1000 trading days. Compute VaR at 99% using Gaussian assumption (deliberately misspecified for t-returns).