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 p-value (Actual) model_eligibility Description The actual PL p-value from upstream system (BCBS 352: 183) See also Actual PL Hypothetical PL Hypothetical PL Lookback Hypothetical PL Lookback Rank 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 Rank Unexplained PL Variance Hypothetical PL Variance Ratio Variance Unexplained PL p-value (Hypothetical) Exception 99 Dates p-value (Hypothetical)
FRTB Accelerator Cubes Guide