[R-SIG-Finance] R Package for Backtesing VaR Estimates

[johnmwamba]

Hi everybody'
I have VaR estimates computed with different methodologies using
PerformanceAnalytics package. I divided my sample space into two - the
in-sample and the out-sample. I now want to backtest my VaR estimates in the
out-sample space; using for example the number of exceedances (i.e. truely
observed losses that are greater than the VaR estimates in that out-sample
space). Is there any package I can use? 
Thank you very much for helping


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