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 ---- CommodityESFXVector ---- CommodityVaEFXVector ---- CommodityVaRFXVector ---- CSR non-SecESFXVector ---- CSR non-SecVaEFXVector ---- CSR non-SecVaRFXVector ---- CSR Sec CTPESFXVector ---- CSR Sec CTPVaEFXVector ---- CSR Sec CTPVaRFXVector ---- CSR Sec non-CTPESFXVector ---- CSR Sec non-CTPVaEFXVector ---- CSR Sec non-CTPVaRFXVector ---- EquityESFXVector ---- EquityVaEFXVector ---- EquityVaRFXVector ---- ES97.5Indices ---- ES97.5NeighbourValue ---- ES99Indices ---- ES99NeighbourValue ---- ESBookHierarchyFXVectorParentValue ---- ESBookingFXVectorParentValue ---- ESFXVector ---- ESIndices ---- ESNeighbourValue ---- ESRiskClassFXVectorParentValue ---- ESSubVector ---- ESTradesFXVectorParentValue ---- FXESFXVector ---- FXVaEFXVector ---- FXVaRFXVector ---- GIRRESFXVector ---- GIRRVaEFXVector ---- GIRRVaRFXVector ---- PnLVector.COUNT ---- PnLVector.SUM ---- PnLVectorExpandNeighbourValue ---- TailVaEIndex ---- TailVaRIndex ---- VaE97.5NeighbourValue ---- VaE99NeighbourValue ---- VaEBookHierarchyFXVectorParentValue ---- VaEBookingFXVectorParentValue ---- VaEFXVector ---- VaENeighbourValue ---- VaERiskClassFXVectorParentValue ---- VaESubVector ---- VaETradesFXVectorParentValue ---- VaR97.5Indices ---- VaR97.5NeighbourValue ---- VaR99Indices ---- VaR99NeighbourValue ---- VaRBookHierarchyFXVectorParentValue ---- VaRBookingFXVectorParentValue ---- VaRFXVector ---- VaRIndices ---- VaRNeighbourValue ---- VaRRiskClassFXVectorParentValue ---- VaRSubVector ---- VaRTradesFXVectorParentValue --- Utility --- Value at Earning --- Value at Risk Datastores Calculations Guide Input file formats VaRNeighbourValue Description VaR as of previous date (by default T-1) Relevant context values DayToDayDifference VARConfidenceLevel PnLStart PnLEnd VaRIndices VaRRiskClassFXVectorParentValue
Market Risk Accelerator Reference Guide v1.9.1