Report on varbacktest data
Create a varbacktest object.
load VaRBacktestData
vbt = varbacktest(EquityIndex,Normal95)vbt =
varbacktest with properties:
PortfolioData: [1043x1 double]
VaRData: [1043x1 double]
PortfolioID: "Portfolio"
VaRID: "VaR"
VaRLevel: 0.9500
Generate the summary report.
S = summary(vbt)
S=1×10 table
PortfolioID VaRID VaRLevel ObservedLevel Observations Failures Expected Ratio FirstFailure Missing
___________ _____ ________ _____________ ____________ ________ ________ _____ ____________ _______
"Portfolio" "VaR" 0.95 0.94535 1043 57 52.15 1.093 58 0
Use the varbacktest constructor with name-value pair arguments to create a varbacktest object and generate a summary report.
load VaRBacktestData vbt = varbacktest(EquityIndex,... [Normal95 Normal99 Historical95 Historical99 EWMA95 EWMA99],... 'PortfolioID','Equity',... 'VaRID',{'Normal95' 'Normal99' 'Historical95' 'Historical99' 'EWMA95' 'EWMA99'},... 'VaRLevel',[0.95 0.99 0.95 0.99 0.95 0.99]); S = summary(vbt)
S=6×10 table
PortfolioID VaRID VaRLevel ObservedLevel Observations Failures Expected Ratio FirstFailure Missing
___________ ______________ ________ _____________ ____________ ________ ________ ______ ____________ _______
"Equity" "Normal95" 0.95 0.94535 1043 57 52.15 1.093 58 0
"Equity" "Normal99" 0.99 0.9837 1043 17 10.43 1.6299 173 0
"Equity" "Historical95" 0.95 0.94343 1043 59 52.15 1.1314 55 0
"Equity" "Historical99" 0.99 0.98849 1043 12 10.43 1.1505 173 0
"Equity" "EWMA95" 0.95 0.94343 1043 59 52.15 1.1314 28 0
"Equity" "EWMA99" 0.99 0.97891 1043 22 10.43 2.1093 143 0
vbt — varbacktest objectvarbacktest (vbt) object,
contains a copy of the given data (the PortfolioData
and VarData properties) and all combinations of
portfolio ID, VaR ID, and VaR levels to be tested. For more information
on creating a varbacktest object, see varbacktest.
S — Summary reportSummary report, returned as a table. The table rows correspond to all combinations of portfolio ID, VaR ID, and VaR levels to be tested. The columns correspond to the following information:
'PortfolioID' — Portfolio ID for
the given data
'VaRID' — VaR ID for each of the
VaR data columns provided
'VaRLevel' — VaR level for the
corresponding VaR data column
'ObservedLevel' — Observed
confidence level, defined as number of periods without
failures divided by number of observations
'Observations' — Number of
observations, where missing values are removed from the
data
'Failures' — Number of failures,
where a failure occurs whenever the loss (negative of
portfolio data) exceeds the VaR
'Expected' — Expected number of
failures, defined as the number of observations multiplied
by one minus the VaR level
'Ratio' — Ratio of the number of
failures to expected number of failures
'FirstFailure' — Number of
periods until first failure
'Missing' — Number of periods
with missing values removed from the sample
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