FRTB Accelerator Cube GuideSquared LHScaleFactor
| Description | The current liquidity horizon minus shorter and djvided by the base liquidity horizon |
|---|---|
| Reference | [MAR33.4] |
| Formula | $$\frac{(LH_j-LH_{j-1})}{T}$$ |
The measure requires having hierarchy(ies) in the view: [Risk].[Liquidity Horizons].
See also
- ES (Current Ratio)
- Squared LHScaleFactor Reference
- ES (Basic).D2D
- ES (Capital Unconstrained)
- ES
- PnL Expand
- LH
- ES (Basic)
- ES (Liquidity Adj.)
- Squared ES (Liquidity Adj.)
- ES (Capital)
- ES (Capital Constrained)