FRTB Accelerator Cubes GuideMean Ratio
| Description | The mean of the unexplained P&L divided by the standard deviation of the hypothetical P&L (BCBS 352: 183 (b)) |
|---|
Mean Ratio = Mean Unexplained PL / Std Dev Hypothetical PL
See also
- Actual PL
- Hypothetical PL
- Hypothetical PL Lookback
- Hypothetical PL Lookback Rank
- Kolmogorov-Smirnov Test Metric
- Lookback Index
- 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 Rank
- Unexplained PL
- Variance Hypothetical PL
- Variance Ratio
- Variance Unexplained PL
- p-value (Actual)
- p-value (Hypothetical)