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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

varbacktestCreate varbacktest object to run suite of value-at-risk (VaR) backtests

Functions

summaryReport on varbacktest data
runtestsRun all tests in varbacktest
tlTraffic light test for value-at-risk (VaR) backtesting
binBinomial test for value-at-risk (VaR) backtesting
pofProportion of failures test for value-at-risk (VaR) backtesting
tuffTime until first failure test for value-at-risk (VaR) backtesting
ccConditional coverage mixed test for value-at-risk (VaR) backtesting
cciConditional coverage independence test for value-at-risk (VaR) backtesting
tbfTime between failures mixed test for value-at-risk (VaR) backtesting
tbfiTime between failures independence test for value-at-risk (VaR) backtesting
appendAdd portfolio, value-at-risk (VaR), and expected shortfall (ES) data to backtest objects (Since R2023b)
exceptionsFormat exceptions in value-at-risk (VaR) or expected shortfall (ES) backtest objects (Since R2023b)
selectSelect value-at-risk (VaR) or expected shortfall (ES) data from backtest objects (Since R2023b)
plotVisualize value-at-risk (VaR) or expected shortfall (ES) and portfolio data, and highlight exceptions (Since R2023b)

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