IMsValueAtRiskBacktestingResult

Assembly: 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