VaR Backtest
VaR (value-at-risk) is an estimate of how much value a portfolio can lose in a given time period with a given confidence level. VaR backtesting tools assess the accuracy of VaR models. For more information on VaR backtesting tools, see Overview of VaR Backtesting.
Objects
varbacktest | Create varbacktest object to run suite of value-at-risk
(VaR) backtests |
Functions
summary | Report on varbacktest data |
runtests | Run all tests in varbacktest |
tl | Traffic light test for value-at-risk (VaR) backtesting |
bin | Binomial test for value-at-risk (VaR) backtesting |
pof | Proportion of failures test for value-at-risk (VaR) backtesting |
tuff | Time until first failure test for value-at-risk (VaR) backtesting |
cc | Conditional coverage mixed test for value-at-risk (VaR) backtesting |
cci | Conditional coverage independence test for value-at-risk (VaR) backtesting |
tbf | Time between failures mixed test for value-at-risk (VaR) backtesting |
tbfi | Time between failures independence test for value-at-risk (VaR) backtesting |
append | Add portfolio, value-at-risk (VaR), and expected shortfall (ES) data to backtest objects (Since R2023b) |
exceptions | Report exceptions in value-at-risk (VaR) or expected shortfall (ES) backtest objects (Since R2023b) |
select | Select value-at-risk (VaR) or expected shortfall (ES) data from backtest objects (Since R2023b) |
plot | Visualize value-at-risk (VaR) or expected shortfall (ES) and portfolio data, and highlight exceptions (Since R2023b) |
Topics
- VaR Backtesting Workflow
This example shows a value-at-risk (VaR) backtesting workflow and the use of VaR backtesting tools.
- Value-at-Risk Estimation and Backtesting
This example shows how to estimate Value-at-Risk (VaR) and then use backtesting to measure the accuracy of the VaR calculation.
- Estimate VaR for Equity Portfolio Using Parametric Methods
This example shows how to estimate the value-at-risk (VaR) for a portfolio of equity positions using two parametric methods, normal VaR and exponentially weighted moving average (EWMA) VaR.
- Historical Value-at-Risk Estimation with US Treasury Bonds
This example shows how to estimate the value at risk (VaR) for a portfolio of US Treasury bonds by using both the historical and filtered historical VaR methods.
- Overview of VaR Backtesting
Use multiple VaR Backtesting tools for assessing VaR models.
