Dowd (version 0.12)

LopezBacktest: 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

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)