Navigation : Cube - Measures -- ACC -- IMADRC -- IMASummary -- InternalModelApproach -- Native_measures -- PL -- PLSummary --- Count --- PL --- VaR ---- Exception 97.5 ---- Exception 97.5 (Actual) ---- Exception 97.5 (Hypothetical) ---- Exception 97.5 Count ---- Exception 97.5 Dates ---- Exception 99 ---- Exception 99 (Actual) ---- Exception 99 (Hypothetical) ---- Exception 99 Count ---- Exception 99 Dates ---- VaR 97.5 ---- VaR 97.5 (previous day) ---- VaR 99 ---- VaR 99 (previous day) ---- p-value (Actual) ---- p-value (Hypothetical) -- StandardisedApproach - Context values Exception 97.5 (Actual) model_eligibility Description The measure returns 1 if Actual PL is below VaR 97.5 (previous day). Reference [MAR32.5] See also VaR 97.5 VaR 99% Exception 99 Count Exception 97.5 Dates VaR PL Expand VaR 97.5 (previous day) Exception 97.5 Count Exception 99 (Actual) VaR 97.5% VaR 99 Exception 97.5 Exception 97.5 (Hypothetical) Exception 99 Dates VaR 99 (previous day) Exception 99 Exception 99 (Hypothetical) VaR PL Exception 97.5 Exception 97.5 (Hypothetical)
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