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 Variance Ratio model_eligibility Description The variance of the unexplained P&L divided by the variance of the hypothetical P&L (BCBS 352: 183 (b)) 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 Unexplained PL p-value (Actual) p-value (Hypothetical) Variance Hypothetical PL Variance Unexplained PL
FRTB Accelerator Cubes Guide