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I am trying to carry out backtesting on a number of Value at Risk figures i obtained using var/covar, historical, and monte carlo simulation. The two methods im using are the Kupiec test (unconditional test) and the Christoffersen test (conditional test). The Value at Risk figures are based on 5 financial assets with two short positions, and i have 250 data entries to be used for the backtesting.

Is there a step by step method to backtest my VaR figures, in excel, using both the the Kupiec test (unconditional test) and the Christoffersen test (conditional test)?

any help would be greeatly appreciated

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  • $\begingroup$ Possible duplicate of Back-testing Value at Risk with a WML investment strategy $\endgroup$ – Richard Jan 28 '16 at 14:43
  • $\begingroup$ @Richard a quick read of the linked question doesn't say anything about the Kupiec and Christoffersen test. I'd say that makes this question sufficiently original. $\endgroup$ – Bob Jansen Jan 28 '16 at 15:07
  • $\begingroup$ I am not sure, but I think it was edited after I wrote this. I just thought that back testing VaR is rather covered already - but leaving it open with this focus is fine with me. $\endgroup$ – Richard Jan 28 '16 at 15:41
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    $\begingroup$ You say that you are using the two methods and that you have 250 data entries at hand. Is your question now more about how to apply the tests (in terms of formulae) or how to implement the procedure practically in Excel? Do you have already a clear understanding of the calculation steps you have to perform? $\endgroup$ – BerndH Jan 29 '16 at 8:02

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