Skip to main content

​
Spot analysis

Naming pattern: Measures with “Spot” behavior follow the name pattern:Main Measure Name Spot. The capital requirement CAC_A in BCBS 457 MAR33.41 must respect the past history of IMCCIMCC and SESSES according to this equation: CA=max{IMCCt−1+SESt−1; mc⋅IMCCavg+SESavg}C_A = max\left\{ IMCC_{t-1} + SES_{t-1};\ m_c \cdot IMCC_{avg} + SES_{avg} \right\} We have implemented a group of measures, which allow focusing on the most recent observation date only: CAMostRecent={IMCCt−1+SESt−1}C_A^{MostRecent} = \left\{ IMCC_{t-1} + SES_{t-1} \right\} Follow this link to see the measures with the described behavior: Spot Measures.