summary
Report on varbacktest data
Syntax
Description
Examples
Generate a Summary Report
Create a varbacktest
object.
load VaRBacktestData
vbt = varbacktest(EquityIndex,Normal95)
vbt = varbacktest with properties: PortfolioData: [1043x1 double] VaRData: [1043x1 double] Time: [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
Run a Summary Report for VaR Backtests for Multiple VaRs at Different Confidence Levels
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
Input Arguments
vbt
— varbacktest
object
object
varbacktest
(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
.
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 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
Version History
Introduced in R2016b
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