FRTB Accelerator Cube GuideES (Basic)
| Description | The measure performs expected shortfall aggregation for a set of return vectors |
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This measure needs to be combined with the hierarchies [Risk].[Liquidity Horizons], [Risk].[Risk Classes] and [Risk].[Data Sets] to get to a business interpretable result.
See also
- ES (Capital Unconstrained)
- LH
- PnL Expand
- ES (Capital Constrained)
- Squared ES (Liquidity Adj.)
- Squared LHScaleFactor
- ES (Capital)
- ES (Current Ratio)
- ES
- Squared LHScaleFactor Reference
- ES (Liquidity Adj.)
- ES (Basic).D2D