Navigation : test ../ test user-ref.html User & Reference Guide test ../ test getting-started.html Getting started test ../ test getting-started/about.html - Using this guide test ../ test getting-started/whats-new.html - What's New test ../ test getting-started/data-model.html - Market Risk Data Model test ../ test dashboards.html Dashboards test ../ test what-if.html What-If Analysis test ../ test limits.html Limit monitoring test ../ test sign-off.html Sign-Off Approvals test ../ test calculations.html Calculations Guide test ../ test configuration.html Configuration files test ../ test cube.html Cube Reference test ../ test cube/context-values.html - Context Values test ../ test cube/dimensions.html - Dimensions test ../ test cube/measures.html - Measures test ../ test cube/measures/market-data.html -- Market Data Cube test ../ test cube/measures/native-measures.html -- Native measures test ../ test cube/measures/pnl.html -- PL Cube test ../ test cube/measures/sensi.html -- Sensitivities Cube test ../ test cube/contributors.count.sensi.html --- contributors.COUNT.Sensi test ../ test cube/sensi-trades-count.html --- Sensi Trades Count test ../ test cube/update.timestamp.sensi.html --- update.TIMESTAMP.Sensi test ../ test cube/measures/sensi/expected-shortfall.html --- Expected Shortfall test ../ test cube/measures/sensi/expected-tail-gain.html --- Expected Tail Gain test ../ test cube/measures/sensi/market-data.html --- Market Data test ../ test cube/measures/sensi/pnl-explain.html --- PnL Explain test ../ test cube/measures/sensi/sensitivities.html --- Sensitivities test ../ test cube/measures/sensi/shift.html --- Shift test ../ test cube/measures/sensi/tail.html --- Tail test ../ test cube/measures/sensi/utility.html --- Utility test ../ test cube/measures/sensi/value-at-earnings.html --- Value at Earnings test ../ test cube/measures/sensi/value-at-risk.html --- Value at Risk test ../ test cube/measures/sensi/value-at-risk/taylor.html ---- Taylor test ../ test cube/measures/sensi/value-at-risk/taylor/cash.html ----- Cash test ../ test cube/measures/sensi/value-at-risk/taylor/correlation.html ----- Correlation test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma.html ----- CrossGamma test ../ test cube/measures/sensi/value-at-risk/taylor/delta.html ----- Delta test ../ test cube/measures/sensi/value-at-risk/taylor/gamma.html ----- Gamma test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var.html ------ VaR test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var/booking.html ------- Booking test ../ test cube/gamma-taylor-var.html ------- Gamma Taylor VaR test ../ test cube/gamma-taylor-var-dtd.html ------- Gamma Taylor VaR DtD test ../ test cube/gamma-taylor-var-dtd-difference.html ------- Gamma Taylor VaR DtD % Difference test ../ test cube/gamma-taylor-var-previous.html ------- Gamma Taylor VaR Previous test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var/reference-level.html ------- Reference level test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var/top.html ------- Top test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var/trades.html ------- Trades test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var-97.5.html ------ VaR 97.5 test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var-99.html ------ VaR 99 test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/wvar.html ------ WVaR test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/wvar-97.5.html ------ WVaR 97.5 test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/wvar-99.html ------ WVaR 99 test ../ test cube/measures/sensi/value-at-risk/taylor/vanna.html ----- Vanna test ../ test cube/measures/sensi/value-at-risk/taylor/var.html ----- VaR test ../ test cube/measures/sensi/value-at-risk/taylor/var-97.5.html ----- VaR 97.5 test ../ test cube/measures/sensi/value-at-risk/taylor/var-99.html ----- VaR 99 test ../ test cube/measures/sensi/value-at-risk/taylor/vega.html ----- Vega test ../ test cube/measures/sensi/value-at-risk/taylor/wvar.html ----- WVaR test ../ test cube/measures/sensi/value-at-risk/taylor/wvar-97.5.html ----- WVaR 97.5 test ../ test cube/measures/sensi/value-at-risk/taylor/wvar-99.html ----- WVaR 99 test ../ test cube/measures/unexplained-pnl.html -- Unexplained PnL test ../ test cube/measures/var.html -- VaR-ES Cube test ../ test datastore.html Datastores test ../ test input-files.html Input file formats 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-mr-application.html - The Market Risk Application test ../ test dev/dev-libraries.html - Market Risk Libraries test ../ test dev/dev-extensions.html - Extending the Accelerator test ../ test dev/dev-tools.html - Configuring Accelerator tools and methodologies test ../ test dev/dev-sign-off.html - Sign-Off test ../ test dev/dev-whatif.html - What-If test ../ test pdf-guides.html PDF Guides Gamma Taylor VaR Description Value at Risk with contextual confidence level for the Gamma sensitivity Relevant context values VaRConfidenceLevel Gamma Taylor VaR LEstimated Booking Gamma Taylor VaR DtD