Navigation : Cube reference - Measures -- ACR -- IMADRC -- InternalModelApproach -- PL -- PLSummary --- PL ---- Actual PL ---- Hypothetical PL ---- Hypothetical PL Lookback ---- Hypothetical PL Lookback Empirical Dist Vector ---- Hypothetical PL Lookback Rank ---- Hypothetical PL Lookback Rank Vector ---- 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 Empirical Dist Vector ---- Theoretical PL Lookback Rank ---- Theoretical PL Lookback Rank Vector ---- Unexplained PL ---- Unexplained PL Lookback ---- Variance Hypothetical PL ---- Variance Ratio ---- Variance Unexplained PL --- VaR -- StandardisedApproach - Context values - Dimensions FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 Theoretical PL Lookback Rank model_eligibility Description Computes risk-theoretical PL rank for each observation date Hierarchy(ies) required in the view: [Lookback].[Lookback] 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 Unexplained PL Variance Hypothetical PL Variance Ratio Variance Unexplained PL p-value (Actual) p-value (Hypothetical) Theoretical PL Lookback Empirical Dist Vector Theoretical PL Lookback Rank Vector
FRTB Accelerator Cubes Guide