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Cube reference
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Measures
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ACR
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IMADRC
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InternalModelApproach
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PL
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PL
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VaR
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PLSummary
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PL
---- Actual PL
---- Hypothetical PL
---- Hypothetical PL Lookback
---- Hypothetical PL Lookback Empirical Dist Vector
---- Hypothetical PL Lookback Rank
---- Hypothetical PL Lookback Rank Vector
---- Kolmogorov-Smirnov Test Metric
---- Lookback Index
---- 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
---- Theoretical PL Lookback Empirical Dist Vector
---- Theoretical PL Lookback Rank
---- Theoretical PL Lookback Rank Vector
---- Unexplained PL
---- Unexplained PL Lookback
---- Variance Hypothetical PL
---- Variance Ratio
---- Variance Unexplained PL
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VaR
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StandardisedApproach
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Context values
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Dimensions
Datastores
FRTB Accelerator Interpretation and Implementation of BCBS 457
Unexplained PL Lookback
Description
The measure shows Unexplained PL contributing into the eligibility statistics calculations (BCBS 352: 183)
Hierarchy(ies) required in the view:
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.
FRTB Accelerator Cubes Guide