runtests
Run all expected shortfall backtests (ES) for
esbacktestbysim
object
Description
runs all the tests for the TestResults
= runtests(ebts
)esbacktestbysim
object.
runtests
reports only the final test result. For test
details, such as p-values, run the individual tests:
adds an optional name-value pair argument for TestResults
= runtests(ebts
,Name,Value
)TestLevel
.
Examples
Run All ES Backtests
Create an esbacktestbysim
object.
load ESBacktestBySimData rng('default'); % for reproducibility ebts = esbacktestbysim(Returns,VaR,ES,"t",... 'DegreesOfFreedom',10,... 'Location',Mu,... 'Scale',Sigma,... 'PortfolioID',"S&P",... 'VaRID',["t(10) 95%","t(10) 97.5%","t(10) 99%"],... 'VaRLevel',VaRLevel);
Generate the TestResults
report for all ES backtests.
TestResults = runtests(ebts,'TestLevel',0.99)
TestResults=3×8 table
PortfolioID VaRID VaRLevel Conditional Unconditional Quantile MinBiasAbsolute MinBiasRelative
___________ _____________ ________ ___________ _____________ ________ _______________ _______________
"S&P" "t(10) 95%" 0.95 reject accept reject accept reject
"S&P" "t(10) 97.5%" 0.975 reject accept reject accept reject
"S&P" "t(10) 99%" 0.99 reject reject reject reject reject
Generate the TestResults
report for all ES backtests using the name-value argument for 'ShowDetails'
to display the test confidence level.
TestResults = runtests(ebts,'TestLevel',0.99,'ShowDetails',true)
TestResults=3×9 table
PortfolioID VaRID VaRLevel Conditional Unconditional Quantile MinBiasAbsolute MinBiasRelative TestLevel
___________ _____________ ________ ___________ _____________ ________ _______________ _______________ _________
"S&P" "t(10) 95%" 0.95 reject accept reject accept reject 0.99
"S&P" "t(10) 97.5%" 0.975 reject accept reject accept reject 0.99
"S&P" "t(10) 99%" 0.99 reject reject reject reject reject 0.99
Input Arguments
ebts
— esbacktestbysim
object
object
esbacktestbysim
(ebts
) object,
which contains a copy of the given data (the
PortfolioData
, VarData
,
ESData
, and Distribution
properties) and all combinations of portfolio ID, VaR ID, and VaR levels
to be tested. For more information on creating an
esbacktestbysim
object, see esbacktestbysim
.
Name-Value Arguments
Specify optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where Name
is
the argument name and Value
is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: TestResults =
runtests(ebts,'TestLevel',0.99)
TestLevel
— Test confidence level
0.95
(default) | numeric value between 0
and
1
Test confidence level, specified as the comma-separated pair
consisting of 'TestLevel'
and a numeric value
between 0
and 1
.
Data Types: double
ShowDetails
— Indicates if the output displays a column showing the test confidence level
false
(default) | scalar logical with a value of true
or
false
Indicates if the output displays a column showing the test
confidence level, specified as the comma-separated pair consisting
of 'ShowDetails'
and a scalar logical
value.
Data Types: logical
Output Arguments
TestResults
— Results
table
Results, returned as a table where the 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'Conditional'
— Categorical array with categories 'accept' and 'reject' indicating the result of the conditional test'Unconditional'
— Categorical array with categories 'accept' and 'reject' indicating the result of the unconditional test'Quantile'
— Categorical array with categories 'accept' and 'reject' indicating the result of the quantile test'minBiasAbsolute'
— Categorical array with categories 'accept' and 'reject' indicating the result of theminBiasAbsolute
test'minBiasRelative'
— Categorical array with categories 'accept' and 'reject' indicating the result of theminBiasRelative
test
Note
If you request to show additional details by setting the
ShowDetails
optional input to
true
, then the output also contains a
TestLevel column for the confidence level.
For the test results, the terms 'accept'
and 'reject'
are used for convenience.
Technically, a test does not accept a model; rather, a test
fails to reject it.
Version History
Introduced in R2017b
See Also
summary
| conditional
| unconditional
| quantile
| simulate
| minBiasRelative
| minBiasAbsolute
| esbacktestbysim
| esbacktestbyde
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