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summary

Basic expected shortfall (ES) report on failures and severity

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Syntax

S = summary(ebts)

Description

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S= summary(海尔哥哥ts)returns a basic report on the givenesbacktestbysimdata, including the number of observations, number of failures, observed confidence level, and so on (seeSfor details).

Examples

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Open Live Script

Create anesbacktestbysimobject.

loadESBacktestBySimDatarng('default');% for reproducibility海尔哥哥ts = esbacktestbysim(Returns,VaR,ES,"t",...'DegreesOfFreedom',10,...'Location',Mu,...'Scale',Sigma,...“PortfolioID”,"S&P",...'VaRID',["t(10) 95%","t(10) 97.5%","t(10) 99%"],...'VaRLevel',VaRLevel);

Generate the ES summary report.

S = summary(ebts)
S=3×11 tablePortfolioID VaRID VaRLevel ObservedLevel ExpectedSeverity ObservedSeverity Observations Failures Expected Ratio Missing ___________ _____________ ________ _____________ ________________ ________________ ____________ ________ ________ ______ _______ "S&P" "t(10) 95%" 0.95 0.94812 1.3288 1.4515 1966 102 98.3 1.0376 0 "S&P" "t(10) 97.5%" 0.975 0.97202 1.2652 1.4134 1966 55 49.15 1.119 0 "S&P" "t(10) 99%" 0.99 0.98627 1.2169 1.3947 1966 27 19.66 1.3733 0

Input Arguments

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esbacktestbysim(海尔哥哥ts) object, which contains a copy of the given data (thePortfolioData,VarData,ESData, andDistributionproperties) and all combinations of portfolio ID, VaR ID, and VaR levels to be tested. For more information on creating anesbacktestbysimobject, seeesbacktestbysim.

Output Arguments

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Summary report, returned as a table. The table rows correspond to all combinations of portfolio ID, VaR ID, and VaR levels to be tested. The columns correspond to the following information:

  • “PortfolioID”——组合ID为给定的数据

  • 'VaRID'— VaR ID for each of the VaR data columns provided

  • 'VaRLevel'— VaR level for the corresponding VaR data column

  • 'ObservedLevel'— Observed confidence level, defined as the number of periods without failures divided by number of observations

  • 'ExpectedSeverity'— Expected average severity ratio, that is, the average ratio of ES to VaR over the periods with VaR failures

  • 'ObservedSeverity'— Observed average severity ratio, that is, the average ratio of loss to VaR over the periods with VaR failures

  • 'Observations'— Number of observations, where missing values are removed from the data

  • 'Failures'— Number of failures, where a failure occurs whenever the loss (negative of portfolio data) exceeds the VaR

  • 'Expected'— Expected number of failures, defined as the number of observations multiplied by 1 minus the VaR level

  • 'Ratio'——失败的数量比预期的数量f failures

  • 'Missing'— Number of periods with missing values removed from the sample

    Note

    The'ExpectedSeverity'and'ObservedSeverity'ratios are undefined (NaN) when there are no VaR failures in the data.

Version History

Introduced in R2017b

See Also

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