VaR Report
Method Summary
| Method | Confidence | VaR (loss) | ES (loss) |
|---|
| monte_carlo | 99.00% | 6,366.10 | 7,073.74 |
| historical | 99.00% | 1,545.70 | 1,728.59 |
| parametric_normal | 99.00% | 1,397.27 | 1,596.55 |
| cornish_fisher | 99.00% | 1,251.34 | 2,736.33 |
| filtered_historical | 99.00% | 1,801.99 | 1,986.65 |
| student_t | 99.00% | 1,538.19 | 1,965.47 |
| evt | 99.00% | 1,648.34 | 1,752.67 |
monte_carlo
historical
filtered_historical
Backtest
| Exceptions | Obs | Rate | LR_uc | p_uc | LR_ind | p_ind | LR_cc | p_cc |
|---|
| 3 | 139 | 2.16% | 1.415 | 0.234 | 0.133 | 0.715 | 1.548 | 0.461 |
Stress Tests
| Scenario | Portfolio Return | PnL |
|---|
| Equity -10% | -8.57% | -6,032.00 |
| Risk-off | -7.00% | -4,930.00 |
| Historical 2024-05-03 | -2.64% | -1,861.87 |
| Historical 2024-11-06 | -2.53% | -1,778.20 |
| Historical 2024-09-16 | -2.20% | -1,545.70 |