LopezBacktest: First (binomial) Lopez forecast evaluation backtest score...

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

Description

Derives the first Lopez (i.e. binomial) forecast evaluation score for a VaR risk measurement model.

Usage

LopezBacktest(Ra, Rb, cl)

Arguments

Ra	Vector of portfolio of profit loss distribution
Rb	Vector of corresponding VaR forecasts
cl	VaR confidence level

Value

Something

Author(s)

Dinesh Acharya

References

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

Lopez, J. A. Methods for Evaluating Value-at-Risk Estimates. Federal Reserve Bank of New York Economic Policy Review, 1998, p. 121.

Lopez, J. A. Regulatory Evaluations of Value-at-Risk Models. Journal of Risk 1999, 37-64.

Examples

# Has to be modified with appropriate data:
   # LopezBacktest for given parameters
   a <- rnorm(1*100)
   b <- abs(rnorm(1*100))+2
   LopezBacktest(a, b, 0.95)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 0.5

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