{% extends "base.html" %} {% block sidebar %}
  • Summary
  • VaR Statistics
  • Backtest Results
  • Traffic Light
  • Charts
  • {% endblock %} {% block content %}

    Risk Analysis Summary

    {{ confidence_level | fmt_percent if confidence_level is defined else '99%' }}
    Confidence Level
    {{ n_obs | default(0) }}
    Observations
    {% if backtest is defined and backtest.n_violations is defined %}
    {{ backtest.n_violations }}
    Violations
    {{ backtest.violation_ratio | fmt_number(2) }}
    Violation Ratio
    {% endif %}

    VaR Statistics

    {% if var_stats is defined %}
    {% if es_stats is defined %}{% endif %} {% if es_stats is defined %}{% endif %} {% if es_stats is defined %}{% endif %} {% if es_stats is defined %}{% endif %} {% if es_stats is defined %}{% endif %}
    StatisticVaRES
    Mean {{ var_stats.mean | fmt_number(6) }}{{ es_stats.mean | fmt_number(6) }}
    Std Dev {{ var_stats.std | fmt_number(6) }}{{ es_stats.std | fmt_number(6) }}
    Min {{ var_stats.min | fmt_number(6) }}{{ es_stats.min | fmt_number(6) }}
    Max {{ var_stats.max | fmt_number(6) }}{{ es_stats.max | fmt_number(6) }}
    {% endif %}

    Backtest Results

    {% if backtest is defined %}
    {% if backtest.n_violations is defined %} {% endif %} {% if backtest.expected_violations is defined %} {% endif %} {% if backtest.violation_ratio is defined %} {% endif %} {% if backtest.kupiec is defined %} {% endif %} {% if backtest.christoffersen is defined %} {% endif %}
    MetricValue
    Violations{{ backtest.n_violations }}
    Expected Violations{{ backtest.expected_violations | fmt_number(1) }}
    Violation Ratio{{ backtest.violation_ratio | fmt_number(3) }}
    Kupiec LR stat{{ backtest.kupiec.stat | fmt_number(3) }}
    Kupiec p-value{{ backtest.kupiec.pvalue | fmt_pvalue }}
    Christoffersen LR stat{{ backtest.christoffersen.stat | fmt_number(3) }}
    Christoffersen p-value{{ backtest.christoffersen.pvalue | fmt_pvalue }}
    {% endif %}

    Traffic Light Assessment

    {% if traffic_light is defined and traffic_light.zone is defined %}
    {{ traffic_light.zone | upper }}
    {{ traffic_light.status }}
    {{ traffic_light.n_violations }}
    Violations
    {% endif %}

    Charts

    {% endblock %}