FRTB Accelerator Reference Guide v2.4.0Unexplained PL Lookback
| Description | The measure shows Unexplained PL contributing into the eligibility statistics calculations (BCBS 352: 183) |
|---|---|
| Hierarchy(ies) required in the view |
The measure helps to inspect actual contributors to eligibility statistics calculation and spot potential data quality issues, such as spikes or missing values.
Note: the lookback horizon, for instance 1M, can be changed to a shorter or longer observation window using NbDaysPLMeasures context value.