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 limits.html
Limit monitoring
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/measures/stresscalibration.html
--
StressCalibration
test ../ test cube/es-basic-stress.html
--- ES (Basic)
test ../ test cube/es-capital-constrained-stress.html
--- ES (Capital Constrained)
test ../ test cube/es-capital-unconstrained-stress.html
--- ES (Capital Unconstrained)
test ../ test cube/es-capital-stress.html
--- ES (Capital)
test ../ test cube/es-current-ratio-stress.html
--- ES (Current Ratio)
test ../ test cube/es-ises-stress.html
--- ES (ISES)
test ../ test cube%5Ces-liquidity-adj-stress.html
--- ES (Liquidity Adj.)
test ../ test cube/es-model-variation-stress.html
--- ES (Model Variation)
test ../ test cube/es-pnl-vector.html
--- ES (PnL Vector)
test ../ test cube/es-pnl-vector-ccy.html
--- ES (PnL Vector) CCY
test ../ test cube/es-pnl-vector-expand.html
--- ES (PnL Vector) Expand
test ../ test cube/es-pnl-vector-non-modellable-idiosyncratic.html
--- ES (PnL Vector) Non-Modellable Idiosyncratic
test ../ test cube/es-pnl-vector-non-modellable-non-idiosyncratic.html
--- ES (PnL Vector) Non-Modellable Non-Idiosyncratic
test ../ test cube/es-pnl-vector-raw.html
--- ES (PnL Vector) RAW
test ../ test cube/es-ses-stress.html
--- ES (SES)
test ../ test cube%5Cimcc-stress.html
--- IMCC
test ../ test cube/imcc-indicator.html
--- IMCC Indicator
test ../ test cube/lh.html
--- LH
test ../ test cube%5Comega-stress.html
--- Omega
test ../ test cube/previous-lh.html
--- Previous LH
test ../ test cube/ses-stress.html
--- SES
test ../ test cube/ses-max.html
--- SES max
test ../ test cube/squared-es-liquidity-adj-stress.html
--- Squared ES (Liquidity Adj.)
test ../ test cube/squared-lhscalefactor-stress.html
--- Squared LHScaleFactor
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
ES (Basic)
Description
The measure performs expected shortfall aggregation for a set of return vectors
Hierarchies required in the view
When the [Risk].[Sliding Window] hierarchy is not present, a vector of Expected Shortfalls is returned which you can expand on [Risk].[Sliding Window] .
See also