FRTB Accelerator Reference Guide v2.4.0PnL Expand
| Description | The simulated PL vectors - input data for ES calculation |
|---|---|
| Hierarchy(ies) required in the view |
Using this measure, you can display trade level input data of the ES calculation. We recommend combining this measure with the [Booking].[Trades] hierarchy, as well as [Risk].[Liquidity Horizons], [Risk].[Risk Classes] and [Risk].[Data Sets] hierarchies.
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) Lookback
- ES (Model Variation) avg
- LH
- Squared ES (Liquidity Adj.)
- Squared LHScaleFactor