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test ../ test user-ref.html
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test ../ test getting-started.html
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test ../ test getting-started/using-this-guide.html
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test ../ test getting-started/directquery.html
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test ../ test tutorials/data-sanity-check.html
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test ../ test tutorials/tips-for-validating-the-calculations.html
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test ../ test tutorials/viewing-qis-numbers.html
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test ../ test cube.html
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test ../ test cube/measures.html
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Measures
test ../ test cube/measures/measure-variations.html
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Measure variations
test ../ test cube/measures/standardisedapproach.html
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StandardisedApproach
test ../ test cube/measures/stresscalibration.html
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StressCalibration
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test ../ test dev/dev-tools.html
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Glossary
ES (Model Variation) avg
Description
Average of the past ES (Model Variation) values
Hierarchies required in the view
Reference
[MAR33.5]
The measure takes the average of the past ES (Model Variation) values.
This measure helps monitor the average ratio of the ES (Liquidity Adj.) measures for the reduced and full sets of risk factors (over the current data set). As per MAR33.5 (2) (b), this ratio should average over 75% for the last 12 weeks, so this measure should be at least 75%.
By default the average is taken over the last 60 days. You can change the Lookback period - 60 - by using the context value CA-Lookback .
See also