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 model_eligibility Description The measure returns 1 if either Actual PL or Hypothetical PL overshoots Previous day 1-day VaR 97.5%. Reference [MAR32.5] See also Exception 99 (Actual) Exception 97.5 Count Exception 99 (Hypothetical) VaR 97.5 (previous day) Exception 99 Exception 97.5 Dates VaR PL VaR PL Expand Exception 99 Count Exception 97.5 (Hypothetical) Exception 99 Dates Exception 97.5 (Actual) VaR 99 VaR 97.5 VaR 99 (previous day) VaR 97.5% VaR 99% VaR Exception 97.5 (Actual)
FRTB Accelerator Cube Guide