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/acr.html
--- ACR
test ../ test cube/ca-ga.html
--- CA-GA
test ../ test cube/capital-surcharge.html
--- Capital Surcharge
test ../ test cube/cu.html
--- CU
test ../ test cube/ima-ga.html
--- IMA-GA
test ../ test cube/imadrc.html
--- IMADRC
test ../ test cube/measures/acr/lookback.html
---
Lookback
test ../ test cube/es-model-variation-avg.html
---- ES (Model Variation) avg
test ../ test cube/es-model-variation-lookback.html
---- ES (Model Variation) Lookback
test ../ test cube/imadrc-lookback.html
---- IMADRC Lookback
test ../ test cube/imadrcavg.html
---- IMADRCavg
test ../ test cube/imcc-lookback.html
---- IMCC Lookback
test ../ test cube/imccavg.html
---- IMCCavg
test ../ test cube/ses-lookback.html
---- SES Lookback
test ../ test cube/sesavg.html
---- SESavg
test ../ test cube/rwa.html
--- RWA
test ../ test cube/sa-ga.html
--- SA-GA
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/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 (Model Variation) Lookback
Description
The measure showing contributors to the ES (Model Variation) avg calculation
Reference
[MAR33.5]
The measure helps to validate ES (Model Variation) avg calculation and inspect actual contributors to spot potential data quality issues, such as spikes or missing values.
The ES (Model Variation) measure is the ratio of the ES (Liquidity Adj.) measures for the reduced and full sets of risk factors (over the current data set). i.e. ES_{R,C} / ES_{F,C}. As per MAR33.5 (2) (b), this ratio should average over 75% for the last 12 weeks.
Note: the lookback horizon, for instance 60 days, can be changed to a shorter or longer observation window using CA-Lookback context value.
See also