Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach --- ES ---- CA ---- ES (Basic Non-Modellable Idiosyncratic) ---- ES (Basic Non-Modellable Non-Idiosyncratic) ---- ES (Basic) ---- ES (Basic).D2D ---- ES (Capital Constrained) ---- ES (Capital Unconstrained) ---- ES (Capital) ---- ES (Current Ratio) ---- ES (ISES) ---- ES (Liquidity Adj.) ---- ES (SES) ---- ES Scenario Rank ---- IMCC ---- IMCC.D2D ---- Omega ---- PnL Expand ---- SES ---- Squared ES (Liquidity Adj.) ---- Squared LHScaleFactor --- Technical -- PL -- PLSummary -- StandardisedApproach - Context values - Dimensions FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 Squared LHScaleFactor ima Description The current liquidity horizon minus shorter and djvided by the base liquidity horizon Hierarchy(ies) required in the view: [Risk].[Liquidity Horizons] Reference [MAR33.4] Formula (LHj−LHj−1)T See also ES (Basic) ES (Basic).D2D ES (Capital Constrained) ES (Capital Unconstrained) ES (Capital) ES (Current Ratio) ES (Liquidity Adj.) LH PnL Expand Squared ES (Liquidity Adj.) Squared ES (Liquidity Adj.) Technical
FRTB Accelerator Cubes Guide