Spot

Spot analysis

Naming pattern: Measures with “Spot” behavior follow the name pattern:Main Measure Name Spot.

The capital requirement $C_A$ in BCBS 457 [MAR33.41] must respect the past history of $IMCC$ and $SES$ according to this equation:

$ C_A=max \left \{ IMCC_{t-1} + SES_{t-1}; m_c \cdot IMCC_{avg}+SES_{avg} \right \} $

We have implemented a group of measures, which allow focusing on the most recent observation date only:

$ C_A^{MostRecent}= \left \{ IMCC_{t-1} + SES_{t-1} \right \} $

Follow this link to see the measures with the described behavior: Spot Measures.