Measures
Both Cubes share the same measures which are seamlessly tied together within the FRTBCombinedCube.
Common Measures
| Measure | Description |
|---|---|
| VaR PL | A technical vector-valued measure from the PL field in the input files (after currency conversion). |
| VaR PL Expand | VaR PL Vector expanded along the Scenario analysis hierarchy. |
| Hypothetical PL | From input file (after currency conversion). |
| Actual PL | From input file (after currency conversion). |
| Theoretical PL | From input file (after currency conversion). |
| Unexplained PL | Difference between Theoretical PL and Hypothetical PL. |
| VaR 99 | The value-at-risk with 99% confidence level 1. |
| VaR 97.5 | The value-at-risk with 97.5% confidence level. |
| VaR 99 (previous day) | VaR 99 of previous day (T-2). |
| VaR 97.5 (previous day) | VaR 97.5 of previous day (T-2). |
| ES 99 | The Expected Shortfall with 99% confidence level. |
| ES 97.5 | The Expected Shortfall with 97.5% confidence level. |
| p-value (Actual) | p value for Actual PL given PL Vector input as distribution. |
| p-value (Hypothetical) | p value for Hypothetical PL given PL Vector input as distribution. |
| Exception 99 (Actual) | Exception at 99% confidence level for Actual P&L * 1 if Actual PL < VaR 99 (previous day) * 0 otherwise |
| Exception 99 (Hypothetical) | Exception at 99% confidence level for Hypothetical P&L * 1 if Hypothetical PL < VaR 99 (previous day) * 0 otherwise |
| Exception 97.5 (Actual) | Exception at 97.5% confidence level for Actual P&L * 1 if Actual PL < VaR 97.5 (previous day) * 0 otherwise |
| Exception 97.5 (Hypothetical) | Exception at 97.5% confidence level for Hypothetical P&L * 1 if Hypothetical PL < VaR 97.5 (previous day) * 0 otherwise |
| Outlier 99 | MAX(Exception 99 (Actual), Exception 99 (Hypothetical)). |
| Outlier 97.5 | MAX(Exception 97.5 (Actual), Exception 97.5 (Hypothetical)). |
FRTBCombinedCube Measures
For PL Attribution Tests
| Measure | Description |
|---|---|
| Spearman Correlation Metric | The correlation between RTPL and HPL. |
| Kolmogorov-Smirnov Test Metric | The similarity of the distributions of RTPL and HPL. |
| Hypothetical PL Lookback | The Hypothetical PL values expanded along the Lookback analysis hierarchy. |
| Theoretical PL Lookback | The Theoretical PL values expanded along the Lookback analysis hierarchy. |
| Variance Hypothetical PL | The Variance of historical Hypothetical PL data. |
For Backtesting
| Measure | Description |
|---|---|
| Exception 99 Count (Actual) | The number of Exceptions at the 99% confidence level over the past year using Actual PL. |
| Exception 97.5 Count (Actual) | The number of Exceptions at the 97.5% confidence level over the past year using Actual PL. |
| Exception 99 Dates (Actual) | An array of dates of the Exceptions at the 99% confidence level over the past year using Actual PL. |
| Exception 97.5 Dates (Actual) | An array of dates of the Exceptions at the 97.5% confidence level over the past year using Actual PL. |
| Exception 99 Count (Hypothetical) | The number of Exceptions at the 99% confidence level over the past year using Hypothetical PL. |
| Exception 97.5 Count (Hypothetical) | The number of Exceptions at the 97.5% confidence level over the past year using Hypothetical PL. |
| Exception 99 Dates (Hypothetical) | An array of dates of the Exceptions at the 99% confidence level over the past year using Hypothetical PL. |
| Exception 97.5 Dates (Hypothetical) | An array of dates of the Exceptions at the 97.5% confidence level over the past year using Hypothetical PL. |
| Exception 99 Count | MAX(Exception 99 Count (Actual) , Exception 99 Count (Hypothetical)). |
| Exception 97.5 Count | MAX(Exception 97.5 Count (Actual), Exception 97.5 Count (Hypothetical)). |
Extras
| Measure | Description |
|---|---|
| Outlier 97.5 Count | The number of Exceptions at the 97.5% confidence level over the past year. |
| Outlier 99 Count | The number of Exceptions at the 99% confidence level over the past year. |
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Calculated by taking the quantile of the VaR PL Vector ↩︎