LopezBacktest function

First (binomial) Lopez forecast evaluation backtest score measure

Derives the first Lopez (i.e. binomial) forecast evaluation score for a VaR risk measurement model.

LopezBacktest(Ra, Rb, cl)

Arguments

• Ra: Vector of portfolio of profit loss distribution
• Rb: Vector of corresponding VaR forecasts
• cl: VaR confidence level

Returns

Something

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)

Author(s)

Dinesh Acharya

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.