ChristoffersenBacktestForUnconditionalCoverage: Christoffersen Backtest for Unconditional Coverage

In Dowd: Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Description

Carries out the Christiffersen backtest for unconditional coverage for a VaR risk measurement model, for specified VaR confidence level.

Usage

ChristoffersenBacktestForUnconditionalCoverage(Ra, Rb, cl)

Arguments

Ra	Vector of portfolio profit and loss observations
Rb	Vector of VaR forecasts corresponding to PandL observations
cl	Confidence level for VaR

Value

Probability, given the data set, that the null hypothesis (i.e. a correct model) is correct.

Author(s)

Dinesh Acharya

References

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

Christoffersen, P. Evaluating interval forecasts. International Economic Review, 39(4), 1998, 841-862.

Examples

# Has to be modified with appropriate data:
   # Christoffersen Backtest For Unconditional Coverage for given parameters
   a <- rnorm(1*100)
   b <- abs(rnorm(1*100))+2
   ChristoffersenBacktestForUnconditionalCoverage(a, b, 0.95)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 0.02613251

Dowd documentation built on May 2, 2019, 10:16 a.m.