ChristoffersenBacktestForIndependence function

Christoffersen Backtest for Independence

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

ChristoffersenBacktestForIndependence(Ra, Rb, cl)

Arguments

• Ra: Vector of portfolio profit and loss observations
• Rb: Vector of corresponding VaR forecasts
• cl: Confidence interval for

Returns

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

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)

Author(s)

Dinesh Acharya

Dinesh Acharya

References

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

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