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 ---- ES DtD % Difference Limit Monitoring ---- VaR DtD % Difference Limit Monitoring --- Notional --- Tail --- Technical --- Utility --- Value at Earning --- Value at Risk Datastores Calculations Guide Input file formats VaR DtD % Difference Limit Monitoring Description Limit monitoring for VaR DtD % Difference. This is a sample KPI using the VaR DtD % Difference measure and a sample status calculation. Relevant context values VaRConfidenceLevel DayToDayDifference PnLStart PnLEnd ES DtD % Difference Limit Monitoring Notional
Market Risk Accelerator Reference Guide v1.9.1