FRTB Accelerator Cube GuideMean Ratio
| Description | The mean of the unexplained P&L divided by the standard deviation of the hypothetical P&L (BCBS 352: 183 (b)) |
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Mean Ratio = Mean Unexplained PL / Std Dev Hypothetical PL
See also
- Std Dev Theoretical PL Lookback Rank
- Actual PL
- Kolmogorov-Smirnov Test Metric
- Spearman Correlation Metric Denominator
- Unexplained PL
- p-value (Hypothetical)
- Variance Ratio
- p-value (Actual)
- Mean Unexplained PL
- Theoretical PL Lookback
- Theoretical PL
- Spearman Correlation Metric Numerator
- Hypothetical PL Lookback
- Std Dev Hypothetical PL
- Std Dev Hypothetical PL Lookback Rank
- Variance Hypothetical PL
- Hypothetical PL
- Spearman Correlation Metric
- Variance Unexplained PL