BlancoIhleBacktest: Blanco-Ihle forecast evaluation backtest measure

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

Description

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

Usage

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

# 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)

Example output

Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 7.90227e-06

Dowd documentation built on May 2, 2019, 6:15 p.m.