BlancoIhleBacktest {Dowd} | R Documentation |
Blanco-Ihle forecast evaluation backtest measure
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)
[Package Dowd version 0.12 Index]