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 Description Change of VaE from one day to another. By default DtD. Relevant context values DayToDayDifference VAEConfidenceLevel VaE VaE DtD % Difference
Market Risk Accelerator Reference Guide v1.9.1