Rank

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

Rank measures are derived from vectors of P&L values. The P&L values are sorted lowest to highest and assigned an integer value from 1 to the size of the vector. The sort order of the ranks matches the sort order of the P&L values.

The Rank measure can be used to manually check tail measures such as VaR and ES. For example, the 97.5% ES on a vector of 250 P&L values will be the average of the bottom 6-7 values. These will be the values whose rank is between 1 and 7.

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