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