VaR Backtest
创建一个VaR(风险),val模型和俄文n 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, seeOverview of VaR Backtesting.
Objects
varbacktest |
Createvarbacktest object to run suite of value-at-risk (VaR) backtests |
Functions
summary |
Report on varbacktest data |
runtests |
Run all tests invarbacktest |
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 |
Examples and How To
- 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.
Concepts
- Overview of VaR Backtesting
Use multiple VaR Backtesting tools for assessing VaR models.