ExactVaRTest: Exact Finite-Sample Value-at-Risk Back-Testing

Provides fast dynamic-programming algorithms in 'C++'/'Rcpp' (with pure 'R' fallbacks) for the exact finite-sample distributions and p-values of Christoffersen (1998) independence (IND) and conditional-coverage (CC) VaR backtests. For completeness, it also provides the exact unconditional-coverage (UC) test following Kupiec (1995) via a closed-form binomial enumeration. See Christoffersen (1998) <doi:10.2307/2527341> and Kupiec (1995) <doi:10.3905/jod.1995.407942>.

Version:	0.1.3
Depends:	R (≥ 3.5.0)
Imports:	Rcpp, stats
LinkingTo:	Rcpp
Suggests:	bench, dplyr, tidyr, purrr, ggplot2, xts, quantmod, knitr, rmarkdown, testthat (≥ 3.0.0)
Published:	2025-08-22
DOI:	10.32614/CRAN.package.ExactVaRTest
Author:	Yujian Chen [aut, cre]
Maintainer:	Yujian Chen <yjc4996 at gmail.com>
BugReports:	https://github.com/YujianCHEN219/ExactVaRTest/issues
License:	GPL (≥ 3)
URL:	https://github.com/YujianCHEN219/ExactVaRTest
NeedsCompilation:	yes
Language:	en-US
Materials:	README, NEWS
CRAN checks:	ExactVaRTest results

Documentation:

Reference manual:	ExactVaRTest.html , ExactVaRTest.pdf
Vignettes:	ExactVaRTest-intro (source, R code)

Downloads:

Package source:	ExactVaRTest_0.1.3.tar.gz
Windows binaries:	r-devel: ExactVaRTest_0.1.3.zip, r-release: not available, r-oldrel: ExactVaRTest_0.1.3.zip
macOS binaries:	r-release (arm64): ExactVaRTest_0.1.3.tgz, r-oldrel (arm64): ExactVaRTest_0.1.3.tgz, r-release (x86_64): ExactVaRTest_0.1.3.tgz, r-oldrel (x86_64): ExactVaRTest_0.1.3.tgz

Linking:

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