assay_var_es

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Use this when you have VaR or Expected-Shortfall forecasts and need to know whether reality breached them more often or deeper than your claimed tail level allows -- a risk-forecast audit, not buy/sell advice. Does your risk model's VaR/ES forecast survive contact with reality? Exceedance backtest over YOUR forecasts -- a new claim type: risk numbers, not return claims. Submit realised per-period returns plus the VaR forecasts your model produced ex ante (positive loss thresholds at tail level alpha, e.g. 0.05 for a 95% VaR), optionally the matching expected-shortfall forecasts. The breach count is graded on the EXACT binomial Basel traffic-light zones (Basel Committee 1996: green below cumulative probability 0.95, yellow to 0.9999, red above) -- published boundaries, no house thresholds; red earns the named demote VAR_BREACH_RATE_EXCESS. Kupiec's proportion-of-failures LR (1995) and Christoffersen's independence LR (1998) ride along -- clustered breaches flag the advisory var_breaches_clustered (a model blind to volatility clustering). If ES forecasts are supplied, a joint (VaR, ES) mixture e-process (e-backtesting, Wang & Ziegel) grades breach DEPTH: crossing Ville's anytime-valid 1% line earns ES_TAIL_UNDERSTATED. Supply benchmark_var_forecasts (and optionally benchmark_es_forecasts, e.g. a rolling historical quantile) and the assay also tests EQUAL PREDICTIVE ABILITY: Diebold-Mariano (1995) on a strictly consistent loss (quantile tick, or the joint FZ0 loss of Fissler & Ziegel 2016 when both sides carry ES) -- a naive benchmark that beats your model past the one-sided 5% line earns RISK_FORECAST_DOMINATED_BY_BENCHMARK; the attention zone to 10% is the advisory risk_forecast_lags_benchmark. Demote-only: too many breaches can kill, too few is the mis-calibration advisory var_breach_rate_sparse -- conservative models pass with a flag, never a blessing. Code-computed end to end, fail-closed on malformed or undersized input (a series too short to reach the red zone answers insufficient_evidence instead of a hollow pass). Works for any asset class. NOT financial advice; no order path. Price: per check; see https://api.alphaassay.com/v1/meta/pricing (api_key required -- account setup at https://api.alphaassay.com/account).