S = summary(vbt)
returns a basic report on the given varbacktest data,
including the number of observations, the number of failures, the observed
confidence level, and so on (see S for details).
varbacktest (vbt) object,
contains a copy of the given data (the PortfolioData
and VarData properties) and all combinations of
portfolio ID, VaR ID, and VaR levels to be tested. For more information
on creating a varbacktest object, see varbacktest.
Summary report, returned as a table. The table rows correspond to all
combinations of portfolio ID, VaR ID, and VaR levels to be tested. The
columns correspond to the following information:
'PortfolioID' — Portfolio ID for
the given data
'VaRID' — VaR ID for each of the
VaR data columns provided
'VaRLevel' — VaR level for the
corresponding VaR data column
'ObservedLevel' — Observed
confidence level, defined as number of periods without
failures divided by number of observations
'Observations' — Number of
observations, where missing values are removed from the
data
'Failures' — Number of failures,
where a failure occurs whenever the loss (negative of
portfolio data) exceeds the VaR
'Expected' — Expected number of
failures, defined as the number of observations multiplied
by one minus the VaR level
'Ratio' — Ratio of the number of
failures to expected number of failures
'FirstFailure' — Number of
periods until first failure
'Missing' — Number of periods
with missing values removed from the sample
