I have calculated Kupec's POF at 95% and 99% confidence levels. Under the 'Test level' column at last, all the values appear as 0.95. Shouldn't the values at 99% confidence level be 0.99? Please help.
3 views (last 30 days)
Show older comments
Answers (1)
the cyclist
on 15 Apr 2021
Edited: the cyclist
on 15 Apr 2021
The value-at-risk level and the confidence level at which you test that level, are two different things.
You can prove that for yourself by changing the 'TestLevel' input parameter.
You might want to investigate the reference listed at the bottom of the https://www.mathworks.com/help/risk/varbacktest.pof.html.
0 Comments
See Also
Categories
Find more on Expected Shortfall Backtest in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!