FRTB Accelerator Cube GuidePnL Expand
| Description | The simulated PL vectors - input data for ES calculation |
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Using this measure, you can display trade level input data of the ES calculation. We recommend combining this measure with the [Booking].[Trades] hierarchy, as well as [Risk].[Liquidity Horizons], [Risk].[Risk Classes] and [Risk].[Data Sets] hierarchies.
The measure requires having hierarchy(ies) in the view: [Risk].[Scenarios].
See also
- Squared ES (Liquidity Adj.)
- ES (Capital Constrained)
- Squared LHScaleFactor Reference
- ES (Basic).D2D
- ES (Capital)
- ES
- ES (Current Ratio)
- LH
- Squared LHScaleFactor
- ES (Capital Unconstrained)
- ES (Liquidity Adj.)
- ES (Basic)