LopezBacktest {Dowd} | R Documentation |
First (binomial) Lopez forecast evaluation backtest score measure
Description
Derives the first Lopez (i.e. binomial) forecast evaluation score for a VaR risk measurement model.
Usage
LopezBacktest(Ra, Rb, cl)
Arguments
Ra |
Vector of portfolio of profit loss distribution |
Rb |
Vector of corresponding VaR forecasts |
cl |
VaR confidence level |
Value
Something
Author(s)
Dinesh Acharya
References
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.
Examples
# 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)
[Package Dowd version 0.12 Index]