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