www.gusucode.com > risk 案例源码程序 matlab代码 > risk/RunVaRBacktestsforMultiplePortfoliosandConcatenateResultExample.m

    %% Run VaR Backtests for Multiple Portfolios and Concatenate Results  

%% 
% Use the |varbacktest| constructor with table inputs and name-value pair
% arguments to create two |varbacktest| objects and run the concatenated
% summary report. The |varbacktest| constructor uses the variable names
% in the table inputs as |PortfolioID| and |VaRID|. 
load VaRBacktestData
vbtE = varbacktest(DataTable(:,2),DataTable(:,3:4),'VaRLevel',[0.95 0.99]);
vbtD = varbacktest(DataTable(:,5),DataTable(:,6:7),'VaRLevel',[0.95 0.99]);
[summary(vbtE); summary(vbtD)]  

%% 
% Run all the tests and concatenate the results. 
[runtests(vbtE); runtests(vbtD)]  

%% 
% Run the |<docid:risk_ug.bvabirb-1 pof>| test and concatenate the results. 
 [pof(vbtE); pof(vbtD)]