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VaR Backtest

Create a VaR (value-at-risk) backtest model and run suite of VaR backtests

VaR (value-at-risk) is an estimate of how much value a portfolio can lose in a given time period with a given confidence level. VaR backtesting tools assess the accuracy of VaR models. For more information on VaR backtesting tools, see Overview of VaR Backtesting.

Using Objects

varbacktestCreate varbacktest object to run suite of value-at-risk (VaR) backtests

Functions

summaryReport on varbacktest data
runtestsRun all tests in varbacktest
tlTraffic light test for value-at-risk (VaR) backtesting
binBinomial test for value-at-risk (VaR) backtesting
pofProportion of failures test for value-at-risk (VaR) backtesting
tuffTime until first failure test for value-at-risk (VaR) backtesting
ccConditional coverage mixed test for value-at-risk (VaR) backtesting
cciConditional coverage independence test for value-at-risk (VaR) backtesting
tbfTime between failures mixed test for value-at-risk (VaR) backtesting
tbfiTime between failures independence test for value-at-risk (VaR) backtesting

Examples and How To

VaR Backtesting Workflow

This example shows a value-at-risk (VaR) backtesting workflow and the use of VaR backtesting tools.

Value-at-Risk Estimation and Backtesting

This example shows how to estimate the value-at-risk (VaR) using three methods, and how to perform a VaR backtesting analysis.

Concepts

Overview of VaR Backtesting

Use multiple VaR Backtesting tools for assessing VaR models.

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