VaR Backtest

Create a VaR (value-at-risk) backtest model and run suite of VaR backtests

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`	Format 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.