Documentation Index
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Actual PL Lookback Rank
Technical measure
Actual PL Lookback
The historical Actual PL values
Actual PL
A sum of Actual PL input values
Exception 97.5 (Actual) Lookback
The historical Exception 97.5 (Actual) values
Exception 97.5 (Hypothetical) Lookback
The historical Exception 97.5 (Hypothetical) values
Exception 99 (Actual) Lookback
The historical Exception 99 (Actual) values
Exception 99 (Hypothetical) Lookback
The historical Exception 99 (Hypothetical) values
Hypothetical PL Lookback Rank
Computes hypothetical PL rank for each observation date
Hypothetical PL Lookback
The hypothetical PL contributing to the eligibility statistics calculations
Hypothetical PL
A sum of Hypothetical PL input values
Kolmogorov-Smirnov Test Metric
The Kolmogorov Smirnov statistics
Kolmogorov-Smirnov Test p-value
The p-value for the Kolmogorov-Smirnov Test.
Mean Ratio
The mean of the unexplained P&L divided by the standard deviation of the hypothetical P&L (BCBS 352: 183 (b))
Mean Unexplained PL
The mean of the unexplained P&L (BCBS 352: 183 (b))
p-value (Actual) Lookback Rank
Technical measure
p-value (Actual) Lookback
The historical p-value (Actual) values
p-value (Hypothetical) Lookback Rank
Technical measure
p-value (Hypothetical) Lookback
The historical p-value (Hypothetical) values
PL Scenario Rank
Simulated PL rank for each VaR Scenario
Spearman Correlation Metric Denominator
Technical measure
Spearman Correlation Metric Numerator
Technical measure
Spearman Correlation Metric
The Spearman Correlation statistics
Std Dev Hypothetical PL Lookback Rank
Technical measure
Std Dev Hypothetical PL
The standard deviation of hypothetical PL
Std Dev Theoretical PL Lookback Rank
Technical measure
Theoretical PL Lookback Rank
Computes risk-theoretical PL rank for each observation date
Theoretical PL Lookback
The theoretical PL contributing to the eligibility statistics calculations
Theoretical PL
A sum of Theoretical PL input values BCBS 352: 183)
Unexplained PL Lookback
Unexplained PL contributing to the eligibility statistics calculations (BCBS 352: 183)
Unexplained PL
Difference between Risk Theoretical PL and Hypothetical PL
Variance Hypothetical PL
The variance of the hypothetical P&L (BCBS 352: 183 (b))
Variance Ratio
The variance of the unexplained P&L divided by the variance of the hypothetical P&L (BCBS 352: 183 (b))
Variance Unexplained PL
The variance of the unexplained P&L (BCBS 352: 183 (b))