FRTB Accelerator Cube GuideES
| Description | Confidence level used in the expected shortfall calculation |
|---|
Confidence level used in the expected shortfall calculation.
See also
- ES (Current Ratio)
- ES (Capital Unconstrained)
- ES (Basic)
- ES (Capital)
- ES (Capital Constrained)
- Squared LHScaleFactor Reference
- LH
- PnL Expand
- Squared ES (Liquidity Adj.)
- Squared LHScaleFactor
- ES (Liquidity Adj.)
- ES (Basic).D2D