Description Usage Arguments Value Author(s) References Examples
Derives the first Lopez (i.e. binomial) forecast evaluation score for a VaR risk measurement model.
1 | LopezBacktest(Ra, Rb, cl)
|
Ra |
Vector of portfolio of profit loss distribution |
Rb |
Vector of corresponding VaR forecasts |
cl |
VaR confidence level |
Something
Dinesh Acharya
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.
1 2 3 4 5 | # 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)
|
Loading required package: bootstrap
Loading required package: MASS
Loading required package: forecast
[1] 0.5
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