IMsValueAtRiskBacktestingResult.VaRLossCorrelation

Fore Syntax

VaRLossCorrelation: Double;

Fore.NET Syntax

VaRLossCorrelation: System.Double;

Description

The VaRLossCorrelation property returns correlation between the Value-At-Risk model and actual losses.

Fore Example

The property use is given in IMsValueAtRiskTransform.Portfolio.

See also:

IMsValueAtRiskBacktestingResult