Kupiec test of a value at risk — kupiec

Is the value at risk exceeded as often as it should be? The likelihood ratio test of Kupiec (1995) compares the share of days with a loss beyond it with the share it promises, such as 5%.

Usage

kupiec_test(exceedances, days, p)

Arguments

exceedances: Number of days with a loss beyond the value at risk.
days: Number of days tested.
p: The share of days it should be exceeded on, such as 0.05.

Value

The p-value of the test.

Examples

golemcrypto:::kupiec_test(c(18, 40), days = 365, p = 0.05)
#> [1] 9.520191e-01 5.453917e-06