returns) exceeds the VaR. Step 2. Generate a VaR backtesting plot. Use the plot function to visualize the VaR backtesting data. This type of visualization is a common first step when performing a VaR backtesting analysis. Step 3. Create a varbacktest object. Create a varbacktest object for the

1-year historical VaR Perform VaR backtesting Use varbacktest. to create the VaR Backtesting Object and then perform 8 tests together using runtests. Visualize the results Supporting functions ', ... inText, ... ' Value-at-Risk (VaR) Backtesting Copyright 2017 The MathWorks, Inc.

Normal Distribution approach (seven (7) violations, blue stars) or the Historical Simulation method (eight (8) violations, red squares). Besides visual tools, you can use statistical tests for VaR backtesting. In Risk Management Toolbox™, a varbacktest object supports multiple statistical tests for VaR

functionality to assess the performance of the ES models in the test window. The esbacktest object does not require any distribution information. Like the varbacktest object, the esbacktest object only takes test data as input. The inputs to esbacktest include portfolio data, VaR data and corresponding VaR