Navigation : Cube Reference - Context Values - Dimensions - Measures -- Native measures -- PL Cube -- Sensitivities Cube -- Unexplained PnL -- Value at Risk -- VaR-ES Cube --- contributors.COUNT.VaR --- Trades Count --- update.TIMESTAMP.VaR --- Adjustments --- Expected Shortfall --- Expected Tail Gain --- KPIs --- Notional --- Tail --- Technical --- Utility --- Value at Earning ---- VaE ----- Booking ----- LEstimated VaE ----- Parametric VaE ----- ReferenceLevel ----- Top ----- Trades ----- VaE ----- VaE DtD ----- VaE DtD % Difference ----- VaE Incremental BookHierarchy ----- VaE Incremental Trades ----- VaE Previous ----- VaE Scenario Name(s) ----- VaE Values ----- VaE with % Difference ---- VaE 97.5 ---- VaE 99 ---- Weighted VaE ---- Weighted VaE 97.5 ---- Weighted VaE 99 --- Value at Risk Datastores Calculations Guide Input file formats VaE DtD % Difference Description Percentage change of VaE from one day to another. By default DtD. Relevant context values DayToDayDifference VAEConfidenceLevel VaE DtD VaE Incremental BookHierarchy
Market Risk Accelerator Reference Guide v1.9.1