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 Squared LHScaleFactor ima Description The current liquidity horizon minus shorter and djvided by the base liquidity horizon Hierarchy(ies) required in the view [Risk].[Liquidity Horizons] Reference [MAR33.4] Formula $$\frac{(LH_j-LH_{j-1})}{T}$$ 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 PnL Expand Squared ES (Liquidity Adj.) Getting started
FRTB Accelerator Reference Guide v2.4.0