Navigation : Cube - Measures -- ACC -- IMADRC -- IMASummary -- InternalModelApproach -- Native_measures -- PL -- PLSummary --- Count --- PL --- VaR ---- Exception 97.5 ---- Exception 97.5 (Actual) ---- Exception 97.5 (Hypothetical) ---- Exception 97.5 Count ---- Exception 97.5 Dates ---- Exception 99 ---- Exception 99 (Actual) ---- Exception 99 (Hypothetical) ---- Exception 99 Count ---- Exception 99 Dates ---- VaR 97.5 ---- VaR 97.5 (previous day) ---- VaR 99 ---- VaR 99 (previous day) ---- p-value (Actual) ---- p-value (Hypothetical) -- StandardisedApproach - Context values VaR 99 (previous day) model_eligibility Description The measure 'VaR 99' taken as of previous day. This measure is tested agains PL time series. Reference [MAR32.4] See also Exception 97.5 Count VaR PL Expand Exception 97.5 Exception 99 (Hypothetical) Exception 97.5 Dates VaR 97.5 Exception 97.5 (Hypothetical) VaR 97.5 (previous day) VaR PL Exception 99 Dates VaR 99 Exception 99 (Actual) VaR 99% Exception 97.5 (Actual) VaR 97.5% Exception 99 Count Exception 99 VaR 99 p-value (Actual)
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