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)]