Uses of Record Class
com.quantfinlib.risk.VarBacktest.TrafficLight

Packages that use VarBacktest.TrafficLight

Package	Description
com.quantfinlib.risk	Risk measurement, decomposition, limits and model validation.

Uses of VarBacktest.TrafficLight in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return VarBacktest.TrafficLight

Modifier and Type	Method	Description
static VarBacktest.TrafficLight	VarBacktest.trafficLight(int exceptions, int observations)	Basel traffic light for 99 % VaR, the supervisory backtest of the bank-wide model (Basel Framework MAR32.8-32.9 and MAR99.17, Table 2).
static VarBacktest.TrafficLight	VarBacktest.trafficLight(int exceptions, int observations, double coverage)	Traffic light at another VaR coverage, with the same 95 % / 99.99 % zone boundaries (the Basel text fixes 99 %; other levels are an extension for internal desk monitoring).