FRTB Accelerator Cube GuideT
| Description | Number of days T in the regulatory liquidity adjusted expected shortfall formula |
|---|
This context value can be used to overwrite the default value “10” for basic horizon T in the expected shortfall formula.
| Description | Number of days T in the regulatory liquidity adjusted expected shortfall formula |
|---|
This context value can be used to overwrite the default value “10” for basic horizon T in the expected shortfall formula.