Navigation :
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User & Reference Guide
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Getting started
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- Using this guide
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- What's New
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- FRTB Data Model
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- DirectQuery
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Configuration files
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Data Stores
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Database
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Input Data
test ../../ test tutorials.html
Tutorials
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- Data Sanity Check
test ../../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
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Interpretation and Implementation of the MAR standard
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ACR
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Jurisdictions
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FRTB P&L Attribution Tests and Backtesting
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Cubes
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Measures
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FRTBCombinedCube Context Values
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Analytics Reference
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Developer Guide
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Release and migration notes
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Getting Started
test ../../ test dev/dev-ui-config.html
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Configuring the UI
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FRTB Reference Implementation
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FRTB Core
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Extending the Solution
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Configuring Solution tools and methodologies
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Sign-Off
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DirectQuery
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Limit monitoring
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Sign-Off Approvals
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What-If Analysis
test ../../ test pdf-guides.html
PDF Guides
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Glossary
FRTBCombinedCube Context Values
Context value
Description
Example
PLALookback Number of business days to look back when calculating the Spearman Correlation and KS test metrics for PLA Tests.
“1M”, “3M”, “1Y”
BackTestingLookback Number of business days to look back when counting the number of exceptions in the VaR backtesting.
“1M”, “3M”, “1Y”