FRTB Accelerator Reference Guide v2.4.0Unexplained PL
| 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.
See also
- Actual PL
- Hypothetical PL
- Hypothetical PL Lookback
- Hypothetical PL Lookback Rank
- Kolmogorov-Smirnov Test Metric
- Lookback Index
- Mean Ratio
- Mean Unexplained PL
- Spearman Correlation Metric
- Spearman Correlation Metric Denominator
- Spearman Correlation Metric Numerator
- Std Dev Hypothetical PL
- Std Dev Hypothetical PL Lookback Rank
- Std Dev Theoretical PL Lookback Rank
- Theoretical PL
- Theoretical PL Lookback
- Theoretical PL Lookback Rank
- Variance Hypothetical PL
- Variance Ratio
- Variance Unexplained PL
- p-value (Actual)
- p-value (Hypothetical)