FRTB Accelerator Reference Guide v2.4.0SES Lookback
| Description | The measure showing SES values contributing into SESavg |
|---|---|
| Hierarchy(ies) required in the view | |
| Reference | [MAR33.41] |
The measure helps to validate SESavg 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.