FRTB Accelerator Cube GuideTheoretical PL Lookback
| Description | The measure shows theoretical PL contributing into the eligibility statistics calculations |
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The measure helps to inspect the actual contributors to eligibility statistics calculation and spot potential data quality issues, such as spikes or missing values.
Note: the lookback horizon, for instance 1M, can be changed to a shorter or longer observation window using NbDaysPLMeasures context value.
The measure requires having hierarchy(ies) in the view: [Lookback].[Lookback].
See also
- Spearman Correlation Metric
- Variance Ratio
- Actual PL
- Hypothetical PL Lookback
- Kolmogorov-Smirnov Test Metric
- Mean Unexplained PL
- Std Dev Hypothetical PL Lookback Rank
- p-value (Hypothetical)
- Spearman Correlation Metric Denominator
- Theoretical PL
- Variance Hypothetical PL
- Spearman Correlation Metric Numerator
- p-value (Actual)
- Std Dev Hypothetical PL
- Unexplained PL
- Mean Ratio
- Variance Unexplained PL
- Std Dev Theoretical PL Lookback Rank
- Hypothetical PL