Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach -- PL -- PLSummary --- 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 ---- p-value (Actual) ---- p-value (Hypothetical) ---- VaR 97.5 ---- VaR 97.5 (previous day) ---- VaR 99 ---- VaR 99 (previous day) -- StandardisedApproach - Context values - Dimensions FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 Exception 99 model_eligibility Description The measure returns 1 if either Actual PL or Hypothetical PL overshoots Previous day 1-day VaR 99%. Reference [MAR32.5] See also Exception 97.5 Exception 97.5 (Actual) Exception 97.5 (Hypothetical) Exception 97.5 Count Exception 97.5 Dates Exception 99 (Actual) Exception 99 (Hypothetical) Exception 99 Count Exception 99 Dates VaR 97.5 VaR 97.5 (previous day) VaR 97.5% VaR 99 VaR 99 (previous day) VaR 99% VaR PL VaR PL Expand Exception 97.5 Dates Exception 99 (Actual)
FRTB Accelerator Cubes Guide