FRTB Accelerator Cubes GuideMean Unexplained PL
| Description | The mean of the unexplained P&L (BCBS 352: 183 (b)) |
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The measure is computed based on the Unexplained PL measure.
See also
- Actual PL
- Hypothetical PL
- Hypothetical PL Lookback
- Hypothetical PL Lookback Rank
- Kolmogorov-Smirnov Test Metric
- Lookback Index
- Mean Ratio
- 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)