FRTB Accelerator Reference Guide v2.4.0ES (Model Variation) Lookback
| Description | The measure showing contributors to the ES (Model Variation) avg calculation |
|---|---|
| Reference | [MAR33.5] |
The measure helps to validate ES (Model Variation) avg calculation and inspect actual contributors to spot potential data quality issues, such as spikes or missing values.
The ES (Model Variation) measure is the ratio of the ES (Liquidity Adj.) measures for the reduced and full sets of risk factors (over the current data set). i.e. ES_{R,C} / ES_{F,C}. As per MAR33.5 (2) (b), this ratio should average over 75% for the last 12 weeks.
Note: the lookback horizon, for instance 60 days, can be changed to a shorter or longer observation window using CA-Lookback context value.
See also
- ES (Basic)
- ES (Basic).D2D
- ES (Capital Constrained)
- ES (Capital Unconstrained)
- ES (Capital)
- ES (Current Ratio)
- ES (Liquidity Adj.)
- ES (Model Variation)
- ES (Model Variation) avg
- LH
- PnL Expand
- Squared ES (Liquidity Adj.)
- Squared LHScaleFactor