Exact Finite-Sample Value-at-Risk Back-Testing
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Documentation for package ‘ExactVaRTest’ version 0.1.3
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| ExactVaRTest-package | ExactVaRTest – Exact Finite-Sample VaR Back-Testing |
| backtest_all | Exact UC/IND/CC back‑tests in one call |
| backtest_lr | Exact finite‑sample back‑test for a VaR exception series |
| ExactVaRTest | ExactVaRTest – Exact Finite-Sample VaR Back-Testing |
| lr_cc_dist | Exact LR_cc (and LR_uc) distribution (auto‑select engine) |
| lr_cc_stat | Christoffersen LR_cc statistic |
| lr_ind_dist | Exact LR_ind distribution (auto‑select engine) |
| lr_ind_stat | Christoffersen LR_ind statistic |
| lr_uc_dist | Exact LR_uc distribution (closed‑form binomial) |
| lr_uc_stat | Christoffersen LR_uc statistic |
| print.ExactVaRBacktest | Print method for ExactVaRBacktest |
| print.ExactVaRBacktestAll | Print method for ExactVaRBacktestAll |
| pval_lr_cc | Exact p-value for LR_cc |
| pval_lr_ind | Exact p-value for LR_ind |
| pval_lr_uc | Exact p-value for LR_uc |