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1. Backtesting Value-at-Risk With Coverage Tests
value-at-risk.net

Link: https://www.value-at-risk.net/backtesting-coverage-tests/

Description: WEBKupiec’s “proportion of failures” (PF) coverage test takes a circuitous—and approximate—route to an answer, offering no particular advantage over our …
2. Backtesting VaR: Kupiec coverage test (Excel)
youtube.com

Link: https://www.youtube.com/watch?v=vexOMdoCsxY

Description: WEBKupiec (1995) unconditional coverage test (UCT) is one of the most famous backtesting procedures for Value-at-Risk. Today we are investigating the concepts b...
3. A review of backtesting for value at risk - Research Explorer …
manchester.ac.uk

Link: https://research.manchester.ac.uk/files/60673220/back4.pdf

Description: Document VersionCiting this paperGeneral rights2.1 Simplest backtesting methodb bb n b =2 nb b2.12 Joint testJt 1) pS;t 1] = F (c);2 ln L a;b b; cAcknowledgmentswhere p is an estimator of b p. Both POF and TUFF are asymptotically chi-squared dis-tributed with one degree of freedom. If the value of the TUFF statistic exceeds the critical value of the chi-square distribution, we reject the null hypothesis. This test is ideal as a simple preliminary to the POF-test when there is no larger set of data availabl...See more on research.manchester.ac.ukExplore further where p is an estimator of b p. Both POF and TUFF are asymptotically chi-squared dis-tributed with one degree of freedom. If the value of the TUFF statistic exceeds the critical value of the chi-square distribution, we reject the null hypothesis. This test is ideal as a simple preliminary to the POF-test when there is no larger set of data availabl...
where p is an estimator of b p. Both POF and TUFF are asymptotically chi-squared dis-tributed with one degree of freedom. If the value of the TUFF statistic exceeds the critical value of the chi-square distribution, we reject the null hypothesis. This test is ideal as a simple preliminary to the POF-test when there is no larger set of data availabl...
4. Overview of VaR Backtesting - MATLAB & Simulink - MathWorks
mathworks.com

Link: https://www.mathworks.com/help/risk/overview-of-var-backtesting.html

Description:
5. Overview of VaR Backtesting - MATLAB & Simulink - MathWorks
mathworks.com

Link: https://www.mathworks.com/help/risk/overview-of-var-backtesting.html

Description: WEBLike Christoffersen’s test, you can combine this test with the frequency POF test to get a TBF mixed test, sometimes called Haas’ mixed Kupiec’s test: L R T B F = L R P O F + …
6. Proportion of failures test for value-at-risk (VaR) backtesting
mathworks.com

Link: https://www.mathworks.com/help/risk/varbacktest.pof.html

Description: WEBThe pof function performs Kupiec's proportion of failures test. The POF test is a likelihood ratio test proposed by Kupiec (1995) to assess if the proportion of failures (number of …
7. Testing the test: How reliable are risk model …
bankunderground.co.uk

Link: https://bankunderground.co.uk/2016/01/15/testing-the-test-how-reliable-are-risk-model-backtesting-results/

Description: WEBJan 15, 2016 · The Kupiec-POF test represents the most widely-used test for assessing the reliability of these risk models (typically Value-at-Risk (VaR) models) – a process known as backtesting. As with all forms of …
8. Backtesting Value at Risk Forecast: the Case of …
researchgate.net

Link: https://www.researchgate.net/publication/308899080_Backtesting_Value_at_Risk_Forecast_the_Case_of_Kupiec_Pof-Test

Description: WEBAug 1, 2016 · The most used backtesting test is known as Kupiec POF test. The POF's null hypothesis, that the observed failure rate p ̂ is equal to the failure rate suggested by the confidence interval, is...
9. A review of backtesting for value at risk - ResearchGate
researchgate.net

Link: https://www.researchgate.net/publication/319023805_A_review_of_backtesting_for_value_at_risk

Description: WEBAug 9, 2017 · The conditional coverage is the joint test that combines Christoffersen's (1998) independence test with Kupiec's (1995) PF test to measure the correct failure …