Dowd (version 0.12)

ChristoffersenBacktestForIndependence: Christoffersen Backtest for Independence

Description

Carries out the Christoffersen backtest of independence for a VaR risk measurement model, for specified VaR confidence level.

Usage

ChristoffersenBacktestForIndependence(Ra, Rb, cl)

Arguments

Ra

Vector of portfolio profit and loss observations

Rb

Vector of corresponding VaR forecasts

cl

Confidence interval for

Value

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

References

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

Christoffersen, P. Evaluating Interval Forecasts. International Economic Review, 39(4), 1992, 841-862.

Examples

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