Skip to main content

Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

Use this file to discover all available pages before exploring further.

ImaNbExceptions
Description
You can control the multiplier mcm_c in the formula for CA and CA-IMA by setting the ImaNbExceptions context value to the number of exceptions. See [MAR99] Table 2 in the section “Supervisory framework for the interpretation of backtesting” for the numbers of exceptions and the corresponding multipliers.