summary
Report on failures and severity for basic expected shortfall (ES) using simulations
Syntax
Description
Examples
Generate an ES Summary Report
Create an esbacktestbysim
object.
load ESBacktestBySimData rng('default'); % for reproducibility ebts = 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 table
PortfolioID 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
ebts
— esbacktestbysim
object
object
esbacktestbysim
(ebts
) object, which
contains a copy of the given data (the PortfolioData
,
VarData
, ESData
, and
Distribution
properties) and all combinations of
portfolio ID, VaR ID, and VaR levels to be tested. For more information on
creating an esbacktestbysim
object, see esbacktestbysim
.
Output Arguments
S
— Summary report
table
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'
— Portfolio ID for the given data'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'
— Ratio of number of failures to expected number of failures'Missing'
— Number of periods with missing values removed from the sampleNote
The
'ExpectedSeverity'
and'ObservedSeverity'
ratios are undefined (NaN
) when there are no VaR failures in the data.
Version History
Introduced in R2017b
See Also
runtests
| conditional
| unconditional
| quantile
| simulate
| minBiasRelative
| minBiasAbsolute
| esbacktestbysim
| esbacktestbyde
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