Rank
Naming pattern: Measures with “Rank” behavior follow the name
pattern:Main Measure Name Rank.
Rank measures are derived from vectors of P&L values.
The P&L values are sorted lowest to highest and assigned an integer value from 1 to the size of the vector.
The sort order of the ranks matches the sort order of the P&L values.
The Rank measure can be used to manually check tail measures such as VaR and ES.
For example, the 97.5% ES on a vector of 250 P&L values will be the average of the bottom 6-7 values.
These will be the values whose rank is between 1 and 7.
Follow this link to see the measures with the described behavior: Rank Measures