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 ---- ES ---- ES 97.5 ---- ES 99 ---- Weighted ES ---- Weighted ES 97.5 ----- Booking ----- ReferenceLevel ----- Top ----- Trades ----- Weighted ES 97.5 ----- Weighted ES 97.5 DtD ----- Weighted ES 97.5 DtD % Difference ----- Weighted ES 97.5 Previous ----- Weighted ES 97.5 Scenario Name(s) ----- Weighted ES 97.5 Values ----- Weighted ES 97.5 with % Difference ---- Weighted ES 99 --- Expected Tail Gain --- KPIs --- Notional --- Tail --- Technical --- Utility --- Value at Earning --- Value at Risk Datastores Calculations Guide Input file formats Weighted ES 97.5 DtD Description Change of Weighted ES from one day to another at 97.5% confidence level. By default DtD. Relevant context values DayToDayDifference WeightedVaRLambda Weighted ES 97.5 Weighted ES 97.5 DtD % Difference
Market Risk Accelerator Reference Guide v1.9.1