FRTB Accelerator Reference Guide v2.4.0ES (Basic)
| Description | The measure performs expected shortfall aggregation for a set of return vectors |
|---|---|
| Hierarchy(ies) required in the view |
This measure needs to be combined with the hierarchies [Risk].[Liquidity Horizons], [Risk].[Risk Classes] and [Risk].[Data Sets] to get to a business interpretable result.
See also
- ES (Basic).D2D
- ES (Capital Constrained)
- ES (Capital Unconstrained)
- ES (Capital)
- ES (Current Ratio)
- ES (Liquidity Adj.)
- ES (Model Variation)
- ES (Model Variation) Lookback
- ES (Model Variation) avg
- LH
- PnL Expand
- Squared ES (Liquidity Adj.)
- Squared LHScaleFactor