![]() ![]() The issue is definitely how to count number the amount of noticed tail failures that surpass the forecasted VáR? The p-value of the Kupiec test can be calculated in Excel making use of cumulative Back button 2distribution with one defree of independence (it said use the function called CHI2DIST) For instance, period 2008-2009 includes 252 investing times,Īssuming that the noticed amount of tail losses exceeding VaR is certainly denoted by a, the test size will be denoted by d and q= 1- d ( c = confidence degree, it will be 0.99 in this case), the probability proportion (LR) test-státistic for Kupiec tést is certainly : In theory, it mentioned that we require to calculate the number of tail losses that exceeds VaR and compare with expected amount of tail deficits that exceed VaR. I need to do the back test for VaR model, the back again testing make use of the Kupiec tést. I was performing the final project at the minute and I got a issue in determining information. ![]()
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