summary
Report on failures and severity for basic expected shortfall (ES)
Syntax
Description
Examples
Generate an ES Summary Report
Create an esbacktest
object.
load ESBacktestData ebt = esbacktest(Returns,VaRModel1,ESModel1,'VaRLevel',VaRLevel)
ebt = esbacktest with properties: PortfolioData: [1966x1 double] VaRData: [1966x1 double] ESData: [1966x1 double] Time: [1966x1 double] PortfolioID: "Portfolio" VaRID: "VaR" VaRLevel: 0.9750
Generate the ES summary report.
S = summary(ebt)
S=1×11 table
PortfolioID VaRID VaRLevel ObservedLevel ExpectedSeverity ObservedSeverity Observations Failures Expected Ratio Missing
___________ _____ ________ _____________ ________________ ________________ ____________ ________ ________ ______ _______
"Portfolio" "VaR" 0.975 0.97101 1.1928 1.4221 1966 57 49.15 1.1597 0
Input Arguments
ebt
— esbacktest
object
object
esbacktest
(ebt
) object, contains a
copy of the given data (the PortfolioData
,
VarData
, and ESData
properties)
and all combinations of portfolio ID, VaR ID, and VaR levels to be tested.
For more information on creating an esbacktest
object,
see esbacktest
.
Output Arguments
S
— Summary report
table
Summary 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 the number of periods without failures divided by number of observations'ExpectedSeverity'
— Expected average severity ratio, that is, the average ratio of ES to VaR over the periods with VaR failures'ObservedSeverity'
— Observed average severity ratio, that is, the average ratio of loss to VaR over the periods with VaR failures'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 1 minus the VaR level'Ratio'
— Ratio of number of failures to expected number of failures'Missing'
— Number of periods with missing values removed from the sampleNote
The
'ExpectedSeverity'
and'ObservedSeverity'
ratios are undefined (NaN
) when there are no VaR failures in the data.
Version History
Introduced in R2017b
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