IMsValueAtRiskTransform

Assembly: Ms;

Description

The IMsValueAtRiskTransform interface is used to work with Value-At-Risk model calculation options.

Inheritance Hierarchy

Comments

Value-At-Risk (VaR) is the value at risk. VaR is an estimate of the value that will not be exceeded by the expected loss on the portfolio over the given time horizon (expressed in monetary units). It is also called 16:15 indicator.

VaR is described by the following parameters:

Time horizon. ForecastingHorizon.
Confidence level (interval). ConfidenceLevel.
Basic currency of the factor.

The VaR model enables the user to estimate value at risk using various methods. Use MethodType to determine method.

VaR is calculated only for daily frequency.

Properties

	Property name	Brief description
	Backtesting	The Backtesting property returns backtesting results.
	ConfidenceLevel	The ConfidenceLevel property determines the significance of confidence limits.
	DistinguishLongShortPositions	The DistinguishLongShortPositions property determines whether the model should distinguish between short and long positions.
	ForecastingHorizon	The ForecastingHorizon property determines time forecasting horizon.
	InstrumentDistribution	The InstrumentDistribution property determines the distribution of financial instruments.
	InstrumentsDimension	The InstrumentsDimension property determines the dimension of financial tools.
	LambdaEMWA	The LambdaEMWAnbsp;property determines the value of EMWA lambda.
	LogarithmicProfit	The LogarithmicProfitnbsp;property determines whether logarithmic yield should be used.
	MethodType	The MethodType property determines model calculation method.
	MissingData	The MissingData property returns missing data treatment method.
	OrganizationsDimension	The OrganizationsDimension property determines organization dimension.
	Portfolio	The Portfolio property determines the term that corresponds to variable containing portfolio data.
	RandomWalk	The RandomWalk property determines whether random walk hypothesis should be used.
	StockPrices	The StockPrices property determines the term that corresponds to variable containing financial tools data.
	UseCholeskyFactorization	The UseCholeskyFactorizationnbsp;property determines whether Cholesky factorization should be used.
	UseFillGaps	The UseFillGaps property determines whether missing data treatment should be used.
	ValueAtRisk	The ValueAtRisk property determines the term that corresponds to variable containing method execution results.
	ZeroMean	The ZeroMean property determines whether the zero mean hypothesis should be used.

Properties inherited from IMsMethod

	Property name	Brief description
	CalculateSeries	The CalculateSeries property returns results of model calculation.
	InversionInfo	The InversionInfo property returns parameters of initial transformation applied to variable.
	ObservationsCount	The ObservationsCount property returns the number of model observations.
	PeriodAlignment	The PeriodAlignment property returns type of model calculation relative to period.
	Series	The Series property returns a set of available series used by current method in calculations.
	StatMethod	The StatMethod property returns information on statistical method used for model calculation.
	Summary	The Summary property returns summary statistics calculated for model.
	SupportsR	The SupportsR property determines whether calculation by R is enabled.
	Type	The Type property returns type of method used for model calculation.
	UseR	The UseR property determines whether connection to R is used on method calculation.

Methods inherited from IMsMethod

	Method name	Brief description
	Execute	The Execute method calculates model and returns calculation results.