Blanco-Ihle forecast evaluation backtest measure

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Description

Derives the Blanco-Ihle forecast evaluation loss measure for a VaR risk measurement model.

Usage

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BlancoIhleBacktest(Ra, Rb, Rc, cl)

Arguments

Ra

Vector of a portfolio profit and loss

Rb

Vector of corresponding VaR forecasts

Rc

Vector of corresponding Expected Tailed Loss forecasts

cl

VaR confidence interval

Value

First Blanco-Ihle score measure.

Author(s)

Dinesh Acharya

References

Dowd, Kevin. Measuring Market Risk, Wiley, 2007.

Blanco, C. and Ihle, G. How Good is Your Var? Using Backtesting to Assess System Performance. Financial Engineering News, 1999.

Examples

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# Blanco-Ihle Backtest For Independence for given confidence level.
   # The VaR and ES are randomly generated.
   a <- rnorm(1*100)
   b <- abs(rnorm(1*100))+2
   c <- abs(rnorm(1*100))+2
   BlancoIhleBacktest(a, b, c, 0.95)

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