BlancoIhleBacktest function

Blanco-Ihle forecast evaluation backtest measure

Derives the Blanco-Ihle forecast evaluation loss measure for a VaR risk measurement model.

BlancoIhleBacktest(Ra, Rb, Rc, cl)

Arguments

• Ra: Vector of a portfolio profit and loss
• Rb: Vector of corresponding VaR forecasts
• Rc: Vector of corresponding Expected Tailed Loss forecasts
• cl: VaR confidence interval

Returns

First Blanco-Ihle score measure.

Examples

# Blanco-Ihle Backtest For Independence for given confidence level.
   # The VaR and ES are randomly generated.
   a <- rnorm(1*100)
   b <- abs(rnorm(1*100))+2
   c <- abs(rnorm(1*100))+2
   BlancoIhleBacktest(a, b, c, 0.95)

Author(s)

Dinesh Acharya

References

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

Blanco, C. and Ihle, G. How Good is Your Var? Using Backtesting to Assess System Performance. Financial Engineering News, 1999.