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