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.
Objects
varbacktest | Create varbacktest object to run suite of value-at-risk
(VaR) backtests |
Functions
summary | Report on varbacktest data |
runtests | Run all tests in varbacktest |
tl | Traffic light test for value-at-risk (VaR) backtesting |
bin | Binomial test for value-at-risk (VaR) backtesting |
pof | Proportion of failures test for value-at-risk (VaR) backtesting |
tuff | Time until first failure test for value-at-risk (VaR) backtesting |
cc | Conditional coverage mixed test for value-at-risk (VaR) backtesting |
cci | Conditional coverage independence test for value-at-risk (VaR) backtesting |
tbf | Time between failures mixed test for value-at-risk (VaR) backtesting |
tbfi | Time between failures independence test for value-at-risk (VaR) backtesting |
Topics
- 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 Value-at-Risk (VaR) and then use backtesting to measure the accuracy of the VaR calculation.
- Overview of VaR Backtesting
Use multiple VaR Backtesting tools for assessing VaR models.