Navigation : Getting started - About - CRR2 support - Glossary Tutorials - Data Health Check - Tips for Validating the Calculations - Viewing QIS Numbers - Workaround for deadlock issue when attempting to create partitions for reference stores Cube reference - Measures -- StandardisedApproach - Dimensions Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 Exception 99 (Hypothetical) model_eligibility Description The measure returns 1 if Hypothetical PL is below VaR 99 (previous day). Reference [MAR32.5] See also Exception 97.5 Exception 97.5 (Actual) Exception 97.5 (Hypothetical) Exception 97.5 Count Exception 97.5 Dates Exception 99 Exception 99 (Actual) Exception 99 Count Exception 99 Dates VaR 97.5 VaR 97.5 (previous day) VaR 97.5% VaR 99 VaR 99 (previous day) VaR 99% VaR PL VaR PL Expand Getting started
FRTB Accelerator Reference Guide v2.4.0