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