Backtesting VaR: Exceptions, Traffic Light & Kupiec Test
This lesson is part of the course
In this lesson
You compare 250 daily VaR forecasts with the actual P&L, count the exceptions, place the model in a traffic-light zone and run Kupiec's proportion-of-failures test.
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Lessons in this course
- Daily Returns & Volatility: From NAV to σ Locked
- Historical VaR: PERCENTILE.INC at 95 % and 99 % Locked
- Parametric VaR: NORM.S.INV × σ × Value Locked
- Scaling VaR to 10 Days (√t) & Checking Limits Locked
- Expected Shortfall (CVaR): The Average Loss Beyond VaR Locked
- Portfolio VaR with Correlations: Covariance Matrix & MMULT Locked
- Backtesting VaR: Exceptions, Traffic Light & Kupiec Test Locked
- Stress Scenarios & the Loss Distribution (Histogram) Locked