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Cube reference
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Measures
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ACR
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IMADRC
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InternalModelApproach
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PL
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PLSummary
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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
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VaR
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StandardisedApproach
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Context values
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Dimensions
FRTB Input File Formats
Datastores
FRTB Accelerator Interpretation and Implementation of BCBS 457
Unexplained PL Lookback
Description
The measure shows Unexplained PL contributing into the eligibility statistics calculations (BCBS 352: 183)
Hierarchy(ies) required in the view:
The measure helps to inspect actual contributors to eligibility statistics calculation and spot potential data quality issues, such as spikes or missing values.
Note: the lookback horizon, for instance 1M, can be changed to a shorter or longer observation window using NbDaysPLMeasures context value.
FRTB Accelerator Cubes Guide