排序法计算VaR阈值并判定违约事件

# 排序法计算VaR
periods <- 180 
confidence <- 0.95
n <- length(data$returns)
var_seq <- rep(NA, n - periods)
for (i in (periods + 1):n) {
    var_seq[i - periods] <- -quantile(data$returns[(i-periods):(i-1)], 1-confidence)
}
# 判定违约事件：若回测时次日跌幅超过 VaR 预测的阀值，判定为一次“违约’。
violations <- data.frame(Date=as.Date(character()), VaR=numeric(), Return=numeric())
for (i in (periods + 1):n) {
    if (data$returns[i] < -var_seq[i - periods]) {
        violations <- rbind(violations, data.frame(Date=index(data$returns)[i], VaR=-var_seq[i - periods], Return=data$returns[i]))
    }
}