backtest: VaR Backtesting
In zhangkd5/riskCalc: Risk Calculation System -- MATH G4082 Project
Description
Usage
Arguments
Details
Value
See Also
Description
This function performs VaR backtesting and creates an S3 class object of backtesting results
Usage
1
backtest(object, testLen.years = 1)
Arguments
object
an object of class "VaR".
testLen.years
the window size of backtesting in years.
Details
Backtesting is performed by firstly compute the realized loss, and then calculate the rate that
VaR is exceeded across the backtesting window.
Value
An object of class "VaR.backtesting".
See Also
zhangkd5/riskCalc documentation built on May 4, 2019, 10:16 p.m.
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Description Usage Arguments Details Value See Also
Description
This function performs VaR backtesting and creates an S3 class object of backtesting results
Usage
1 | backtest(object, testLen.years = 1)
|
Arguments
object |
an object of class |
testLen.years |
the window size of backtesting in years. |
Details
Backtesting is performed by firstly compute the realized loss, and then calculate the rate that VaR is exceeded across the backtesting window.
Value
An object of class "VaR.backtesting".
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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