Navigation : test ../ test user-ref.html User & Reference Guide test ../ test getting-started.html Getting started test ../ test getting-started/using-this-guide.html - Using this guide test ../ test getting-started/whats-new.html - What's New test ../ test getting-started/video-walk-throughs.html - Video walk-throughs test ../ test getting-started/frtb-data-model.html - FRTB Data Model test ../ test getting-started/directquery.html - DirectQuery test ../ test configuration.html Configuration files test ../ test datastore.html Data Stores test ../ test database.html Database test ../ test input-files.html Input Data test ../ test tutorials.html Tutorials test ../ test tutorials/data-sanity-check.html - 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 test ../ test interpret-impl.html Interpretation and Implementation of the MAR standard test ../ test cube.html Analytics Reference test ../ test cube/measures.html - Measures test ../ test cube/measures/measure-variations.html -- Measure variations test ../ test cube/measures/acr.html -- ACR test ../ test cube/measures/frtbcombined.html -- FRTBCombined test ../ test cube/measures/imadrc.html -- IMADRC test ../ test cube/measures/internalmodelapproach.html -- InternalModelApproach test ../ test cube/measures/internalmodelapproach/es.html --- ES test ../ test cube/ca.html ---- CA test ../ test cube/es-basic-non-modellable-idiosyncratic.html ---- ES (Basic Non-Modellable Idiosyncratic) test ../ test cube/es-basic-non-modellable-non-idiosyncratic.html ---- ES (Basic Non-Modellable Non-Idiosyncratic) test ../ test cube/es-basic-ima.html ---- ES (Basic) test ../ test cube/es-basic.d2d.html ---- ES (Basic).D2D test ../ test cube/es-capital-constrained-ima.html ---- ES (Capital Constrained) test ../ test cube/es-capital-unconstrained-ima.html ---- ES (Capital Unconstrained) test ../ test cube/es-capital-ima.html ---- ES (Capital) test ../ test cube/es-current-ratio-ima.html ---- ES (Current Ratio) test ../ test cube/es-ises-ima.html ---- ES (ISES) test ../ test cube/es-liquidity-adj-ima.html ---- ES (Liquidity Adj.) test ../ test cube/es-model-variation-ima.html ---- ES (Model Variation) test ../ test cube/es-ses-ima.html ---- ES (SES) test ../ test cube/es-scenario-rank.html ---- ES Scenario Rank test ../ test cube/imcc-ima.html ---- IMCC test ../ test cube/imcc.d2d.html ---- IMCC.D2D test ../ test cube/omega-ima.html ---- Omega test ../ test cube/pnl-expand.html ---- PnL Expand test ../ test cube/ses-ima.html ---- SES test ../ test cube/squared-es-liquidity-adj-ima.html ---- Squared ES (Liquidity Adj.) test ../ test cube/squared-lhscalefactor-ima.html ---- Squared LHScaleFactor test ../ test cube/measures/internalmodelapproach/technical.html --- Technical test ../ test cube/measures/pl-and-plsummary.html -- PL test ../ test cube/measures/standardisedapproach.html -- StandardisedApproach test ../ test cube/measures/stresscalibration.html -- StressCalibration test ../ test cube/context-values.html - Context values test ../ test cube/dimensions.html - Dimensions test ../ test dev.html Developer Guide test ../ test dev/dev-release.html - Release and migration notes test ../ test dev/dev-getting-started.html - Getting Started test ../ test dev/dev-ui-config.html - Configuring the UI test ../ test dev/dev-ref-impl.html - FRTB Reference Implementation test ../ test dev/dev-core.html - FRTB Core test ../ test dev/dev-extensions.html - Extending the Solution test ../ test dev/dev-tools.html - Configuring Solution tools and methodologies test ../ test dev/dev-sign-off.html - Sign-Off test ../ test dev/dev-direct-query.html - DirectQuery test ../ test limits.html Limit monitoring test ../ test sign-off.html Sign-Off Approvals test ../ test what-if.html What-If Analysis test ../ test pdf-guides.html PDF Guides test ../ test glossary.html Glossary ES (Basic) ima Description Calculates the expected shortfall from the P&L vectors. Hierarchies required in the view [Risk].[Risk Classes][Risk].[Data Sets][Risk].[Liquidity Horizons] Reference [MAR33.3] See also ES (Basic) ES (Basic).D2D ES (Capital Constrained) ES (Capital Constrained) ES (Capital Unconstrained) ES (Capital Unconstrained) ES (Capital) ES (Capital) ES (Current Ratio) ES (Current Ratio) ES (Liquidity Adj.) ES (Liquidity Adj.) ES (Model Variation) ES (Model Variation) ES (Model Variation) Lookback ES (Model Variation) avg ES (PnL Vector) Expand ES (PnL Vector) Non-Modellable Idiosyncratic ES (PnL Vector) Non-Modellable Non-Idiosyncratic LH LH PnL Expand Squared ES (Liquidity Adj.) Squared ES (Liquidity Adj.) Squared LHScaleFactor Squared LHScaleFactor ES (Basic Non-Modellable Non-Idiosyncratic) ES (Basic).D2D