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/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/booking.html ------ Booking test ../ test cube/cash-pnlvectorexpand.html ------ Cash PnLVectorExpand test ../ test cube/correlation-pnlvectorexpand.html ------ Correlation PnLVectorExpand test ../ test cube/crossgamma-pnlvectorexpand.html ------ CrossGamma PnLVectorExpand test ../ test cube/delta-pnlvectorexpand.html ------ Delta PnLVectorExpand test ../ test cube/gamma-pnlvectorexpand.html ------ Gamma PnLVectorExpand test ../ test cube/measures/sensi/value-at-risk/taylor/var/reference-level.html ------ Reference level test ../ test cube/taylor-hd-var.html ------ Taylor HD VaR test ../ test cube/taylor-var-sensi.html ------ Taylor VaR test ../ test cube/taylor-var-dtd.html ------ Taylor VaR DtD test ../ test cube/taylor-var-dtd-difference.html ------ Taylor VaR DtD % Difference test ../ test cube/taylor-var-previous.html ------ Taylor VaR Previous test ../ test cube/measures/sensi/value-at-risk/taylor/var/top.html ------ Top test ../ test cube/measures/sensi/value-at-risk/taylor/var/trades.html ------ Trades test ../ test cube/vanna-pnlvectorexpand.html ------ Vanna PnLVectorExpand test ../ test cube/vega-pnlvectorexpand.html ------ Vega PnLVectorExpand 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 Taylor HD VaR Description Harrell-Davis Taylor VaR, the Harrell-Davis quantile estimator applied on the Taylor VaR Relevant context values VaRConfidenceLevel For a full explanation, see The Harrell-Davis quantile estimator. Taylor VaR LEstimated Reference Level Taylor VaR