FRTB Accelerator Reference Guide v2.4.0IMCC Lookback
| Description | The measure showing contributors to the IMCCavg calculation |
|---|---|
| Reference | [MAR33.41] |
The measure helps to validate IMCCavg calculation and inspect actual contributors to spot potential data quality issues, such as spikes or missing values.
Note: the lookback horizon, for instance 60 days, can be changed to a shorter or longer observation window using CA-Lookback context value.