Navigation : Cube - Measures -- ACC -- IMADRC -- IMASummary -- InternalModelApproach -- Native_measures -- PL -- PLSummary --- Count --- PL ---- Actual PL ---- Hypothetical PL ---- Hypothetical PL Lookback ---- Kolmogorov-Smirnov Test Metric ---- Mean Ratio ---- Mean Unexplained PL ---- Spearman Correlation Metric ---- Spearman Correlation Metric Denominator ---- Spearman Correlation Metric Numerator ---- Std Dev Hypothetical PL ---- Std Dev Hypothetical PL Lookback Rank ---- Std Dev Theoretical PL Lookback Rank ---- Theoretical PL ---- Theoretical PL Lookback ---- Unexplained PL ---- Unexplained PL Lookback ---- Variance Hypothetical PL ---- Variance Ratio ---- Variance Unexplained PL --- VaR -- StandardisedApproach - Context values Variance Ratio model_eligibility Description The variance of the unexplained P&L divided by the variance of the hypothetical P&L (BCBS 352: 183 (b)) See also Theoretical PL Spearman Correlation Metric Spearman Correlation Metric Numerator Std Dev Theoretical PL Lookback Rank Unexplained PL Hypothetical PL Lookback Variance Hypothetical PL Hypothetical PL Variance Unexplained PL Actual PL Std Dev Hypothetical PL Lookback Rank Mean Unexplained PL p-value (Actual) p-value (Hypothetical) Spearman Correlation Metric Denominator Std Dev Hypothetical PL Kolmogorov-Smirnov Test Metric Mean Ratio Theoretical PL Lookback Variance Hypothetical PL Variance Unexplained PL
FRTB Accelerator Cube Guide