Statistical tests for Value at Risk (VaR) Models.
finance
statistical-tests
backtest
value-at-risk
backtesting
kupiec-test
duration-test
christoffersen-pelletier
christoffersen
berkowitz
-
Updated
Aug 29, 2023 - Python
Statistical tests for Value at Risk (VaR) Models.
Tests for VaR estimation of financial instruments, including Kupiec Test(LR-Stats) and Engle Test(QD-Stats).
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