Navigation : test ../ test user-ref.html User & Reference Guide test ../ test getting-started.html Getting started test ../ test getting-started/using-this-guide.html - Using this guide test ../ test getting-started/whats-new.html - What's New test ../ test getting-started/frtb-data-model.html - FRTB Data Model test ../ test tutorials.html Tutorials test ../ test tutorials/data-health-check.html - Data Health Check test ../ test tutorials/tips-for-validating-the-calculations.html - Tips for Validating the Calculations test ../ test tutorials/viewing-qis-numbers.html - Viewing QIS Numbers test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html - Workaround for deadlock issue when attempting to create partitions for reference stores test ../ test configuration.html Configuration files test ../ test sign-off.html Sign-Off Approvals test ../ test cube.html Data Cubes test ../ test cube/measures.html - Measures test ../ test cube/measures/measure-variations.html -- Measure variations test ../ test cube/measures/standardisedapproach.html -- StandardisedApproach test ../ test cube/dimensions.html - Dimensions test ../ test what-if.html What-If Analysis test ../ test datastore.html Data Stores test ../ test input-files.html Input Files test ../ test dev.html Developer Guide test ../ test dev/dev-release.html - Release and migration notes test ../ test dev/dev-getting-started.html - Getting Started test ../ test dev/dev-ref-impl.html - FRTB Reference Implementation test ../ test dev/dev-core.html - FRTB Core test ../ test dev/dev-extensions.html - Extending the Accelerator test ../ test dev/dev-tools.html - Configuring Accelerator tools and methodologies test ../ test dev/dev-sign-off.html - Sign-Off test ../ test interpret-impl.html FRTB Accelerator Interpretation and Implementation of BCBS 457 test ../ test pdf-guides.html PDF Guides test ../ test glossary.html Glossary VaR 97.5 model_eligibility Description The desk level 1-day Value-at-risk with 97.5% confidence level Reference [MAR32.4] The measures represents individual desks as well as higher-level VaR time series, in particular “ALL-IMA” level. See also ES 97.5 ES 99 Exception 97.5 (Actual) Exception 97.5 (Actual) Count Exception 97.5 (Actual) Dates Exception 97.5 (Hypothetical) Exception 97.5 (Hypothetical) Count Exception 97.5 (Hypothetical) Dates Exception 97.5 Count Exception 99 (Actual) Exception 99 (Actual) Count Exception 99 (Actual) Dates Exception 99 (Actual) Dates Exception 99 (Actual) Dates Exception 99 (Hypothetical) Exception 99 (Hypothetical) Count Exception 99 (Hypothetical) Dates Exception 99 Count Outlier 97.5 Outlier 97.5 Count Outlier 99 Outlier 99 Count VaR 97.5 (previous day) VaR 99 VaR 99 (previous day) VaR PL VaR PL Expand User & Reference Guide