ChristoffersenBacktestForUnconditionalCoverage {Dowd}

Christoffersen Backtest for Unconditional Coverage

Description

Carries out the Christiffersen backtest for unconditional coverage for a VaR risk measurement model, for specified VaR confidence level.

Usage

ChristoffersenBacktestForUnconditionalCoverage(Ra, Rb, cl)

Arguments

Ra

Vector of portfolio profit and loss observations

Rb

Vector of VaR forecasts corresponding to PandL observations

cl

Confidence level for VaR

Value

Probability, given the data set, that the null hypothesis (i.e. a correct model) is correct.

Author(s)

Dinesh Acharya

References

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

Christoffersen, P. Evaluating interval forecasts. International Economic Review, 39(4), 1998, 841-862.

Examples

# Has to be modified with appropriate data:
   # Christoffersen Backtest For Unconditional Coverage for given parameters
   a <- rnorm(1*100)
   b <- abs(rnorm(1*100))+2
   ChristoffersenBacktestForUnconditionalCoverage(a, b, 0.95)