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
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Measures
test ../ test cube/measures/measure-variations.html
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Measure variations
test ../ test cube/measures/standardisedapproach.html
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StandardisedApproach
test ../ test cube/measures/stresscalibration.html
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StressCalibration
test ../ test cube/dimensions.html
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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
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Release and migration notes
test ../ test dev/dev-getting-started.html
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Getting Started
test ../ test dev/dev-ref-impl.html
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FRTB Reference Implementation
test ../ test dev/dev-core.html
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FRTB Core
test ../ test dev/dev-extensions.html
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Extending the Accelerator
test ../ test dev/dev-tools.html
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Configuring Accelerator tools and methodologies
test ../ test dev/dev-sign-off.html
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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 (Model Variation)
Description
For each risk class and allin risk class, this is the ratio of the liquidity adjusted ES for reduced current set and ES for full current set
Hierarchies required in the view
Reference
[MAR33.5]
Formula
$$\frac{ES_{R,C}}{ES_{F,C}}$$
To evaluate how much variation of the full ES model is explained by the reduced set of risk-factors (MAR 33.5 (2) (b)), the ES (Model Variation) avg measure should be evaluated for the allin risk-class.
The ES (Model Variation) measure is the ratio of the ES (Liquidity Adj.) measures for the reduced and full sets of risk factors (over the current data set). i.e. ES_{R,C} / ES_{F,C}. As per MAR33.5 (2) (b), this ratio should average over 75% for the last 12 weeks.
See also