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.