IMsValueAtRiskTransform.ForecastingHorizon

Syntax

ForecastingHorizon: Integer;

Description

The ForecastingHorizon property determines time forecasting horizon.

Comments

Value of ForecastingHorizon must be positive.

Time horizon depends on the considered situation. Basel Accords consider 10 day period, Risk Metrics method - 1 day. Most frequently the calculation is based on time horizon of 1 day. 10 days horizon is used to calculate the amount of capital covering the possible loss.

Example

The property use is given in IMsValueAtRiskTransform.Portfolio.