IMsValueAtRiskBacktestingResult

Assembly: Ms;

Namespace: Prognoz.Platform.Interop.Ms;

Description

The IMsValueAtRiskBacktestingResult interface contains properties that return backtesting results.

Inheritance Hierarchy

          IMsValueAtRiskBacktestingResult

Comments

The results can be obtained only after Value-At-Risk model calculation. The results are returned by the IMsValueAtRiskBacktesting.Result property.

Properties

	Property name	Brief description
	ActualConfidenceLevel	The ActualConfidenceLevel property returns confidence level.
	AverageUncoveredRisk	The AverageUncoveredRisk property returns average uncovered risk.
	AverageUnusedRisk	The AverageUnusedRisk property returns average unused risk.
	BinaryLossFunction	The BinaryLossFunction property returns value of binary loss function.
	CoveringFactor	The CoveringFactor property returns value of multiple to obtain coverage.
	QuadraticLossFunction	The QuadraticLossFunction property returns value of quadratic loss function.
	TrafficLight	The TrafficLight property returns "traffic lights".
	VaRLossCorrelation	The VaRLossCorrelation property returns correlation between the Value-At-Risk model and actual losses.

See also:

Ms Assembly Interfaces