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 Unexplained PL model_eligibility Description The variance of the unexplained P&L (BCBS 352: 183 (b)) Formula $$\frac{\sum (x-\bar{x})^2}{n}$$ See also Theoretical PL Spearman Correlation Metric Numerator Unexplained PL Actual PL Std Dev Hypothetical PL Variance Hypothetical PL Hypothetical PL Lookback Std Dev Hypothetical PL Lookback Rank Theoretical PL Lookback Hypothetical PL Mean Unexplained PL Spearman Correlation Metric Denominator p-value (Actual) Variance Ratio Kolmogorov-Smirnov Test Metric Mean Ratio Spearman Correlation Metric Std Dev Theoretical PL Lookback Rank p-value (Hypothetical) Variance Ratio VaR
FRTB Accelerator Cube Guide