Assembly: Ms;
The IMsValueAtRiskBacktestingResult interface contains properties that return backtesting results.
IMsValueAtRiskBacktestingResult
The results can be obtained only after Value-At-Risk model calculation. The results are returned by the IMsValueAtRiskBacktesting.Result property.
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: