FRTB Accelerator Cube GuideUnexplained PL
| Description | The measure shows Unexplained PL contributing into the eligibility statistics calculations (BCBS 352: 183) |
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The measure helps to inspect 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
- Actual PL
- Mean Unexplained PL
- Spearman Correlation Metric Numerator
- p-value (Actual)
- Theoretical PL Lookback
- Hypothetical PL
- Hypothetical PL Lookback
- Std Dev Theoretical PL Lookback Rank
- Mean Ratio
- Theoretical PL
- Spearman Correlation Metric
- p-value (Hypothetical)
- Variance Unexplained PL
- Kolmogorov-Smirnov Test Metric
- Variance Ratio
- Spearman Correlation Metric Denominator
- Std Dev Hypothetical PL
- Variance Hypothetical PL
- Std Dev Hypothetical PL Lookback Rank