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 Variance Unexplained PL model_eligibility Description The variance of the unexplained P&L (BCBS 352: 183 (b)) Formula $$\frac{\sum (x-\bar{x})^2}{n}$$ 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 Unexplained PL Variance Hypothetical PL Variance Ratio p-value (Actual) p-value (Hypothetical) Getting started
FRTB Accelerator Reference Guide v3.0.0