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    VaR and BackTesting

    hi thank you for your answer, in fact the problem is not how to apply these formula, but how can i get a daily VAR etimates to compare it and then get the number of exceptions!! my problem is that i got only one VAR per confidence level for one day estimation , but a daily VAR!!! that's my...
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    VaR and BackTesting

    Hi every one plzzzz help me i need to backtest VAR and ES , i dont know how to use kupiec test or the rolling window estimates!! they told me i should try to do it usig R. backtesting package but i didn't find it!! any one can help me plzzz
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    Backtesting of VAR and condityional Var

    thank you David so much i'll try to backtest it with MATLAB and tell if it's OK or not, any way good luck in youre job and thanks again
  4. A

    Backtesting of VAR and condityional Var

    Thank you david very much for your answer, i'll read the link you sent to me, and just more thing please can we backtest the ES?? thanks again
  5. A

    Backtesting of VAR and condityional Var

    pleaaaaaaaaaaaaaaaase any one here to help me :(((
  6. A

    Backtesting of VAR and condityional Var

    hi david , hi everyone I'm new here and i need some help, i'm working on risk mesures ( VAR and ES ) 1/ i want to know please how to calculate thes values using models such as ARCH/GARCH... 2/ Is there any way to backtest VAR an ES?? pleaaaase help me thank you in advance
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