Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
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ES 97.5
The trade level 1-day expected Shortfall at 97.5% confidence level
ES 99
The expected shortfall at 99% confidence level
Exception 97.5 (Actual) Count
The rolling sum of Exception 97.5 (exceptions from Actual)
Exception 97.5 (Actual) Dates
The list of past dates where Actual PL overshoots VaR
Exception 97.5 (Actual)
The measure returns 1 if Actual PL is below VaR 97.5 (previous day).
Exception 97.5 Count
The max of Exception 97.5 (Actual) and Exception 97.5 (Hypothetical)
Exception 97.5 (Hypothetical) Count
The rolling sum of Exception 97.5 (exceptions from Hypothetical)
Exception 97.5 (Hypothetical) Dates
The list of past dates where Hypothetical PL overshoots VaR
Exception 97.5 (Hypothetical)
The measure returns 1 if Hypothetical PL is below VaR 97.5 (previous day).
Exception 99 (Actual) Count
The rolling sum of Exception 99 (exceptions from Actual)
Exception 99 (Actual) Dates
The list of past dates where Actual PL overshoots VaR
Exception 99 (Actual)
The measure returns 1 if Actual PL is below VaR 99 (previous day).
Exception 99 Count
The max of Exception 99 (Actual) and Exception 99 (Hypothetical)
Exception 99 (Hypothetical) Count
The rolling sum of Exception 99 (exceptions from Hypothetical)
Exception 99 (Hypothetical) Dates
The list of past dates where Hypothetical PL overshoots VaR
Exception 99 (Hypothetical)
The measure returns 1 if Hypothetical PL is below VaR 99 (previous day).
Outlier 97.5 Count
The rolling sum of Outlier 97.5
Exception 99 (Actual) Dates
The list of past dates where Actual PL or Hypothetical PL overshoots VaR
Outlier 97.5
Max of (Exception 97.5 (Actual) , Exception 97.5 (Hypothetical))
Outlier 99 Count
The rolling sum of Outlier 99
Exception 99 (Actual) Dates
The list of past dates where Actual PL or Hypothetical PL overshoots VaR
Outlier 99
Max of (Exception 99 (Actual) , Exception 99 (Hypothetical))
p-value (Actual)
The actual PL p-value from upstream system (BCBS 352: 183)
p-value (Hypothetical)
The hypothetical PL p-value from upstream system (BCBS 352: 183)
VaR 97.5 (previous day)
The measure ‘VaR 97.5’ taken as of previous day. This measure is tested against PL time series.
VaR 97.5
The desk level 1-day Value-at-risk with 97.5% confidence level
VaR 99 (previous day)
The measure ‘VaR 99’ taken as of previous day. This measure is tested against PL time series.
VaR 99
The desk level 1-day Value-at-risk with 99% confidence level
VaR PL Expand
The simulated PL vectors - input data for the VaR calculation
VaR PL
Technical measure VaR PL Vector which you can expand using the
VaR PL Expand measure