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 ---- VaE 97.5 ---- VaE 99 ---- Weighted VaE ---- Weighted VaE 97.5 ----- Booking ----- ReferenceLevel ----- Top ----- Trades ----- Weighted VaE 97.5 ----- Weighted VaE 97.5 DtD ----- Weighted VaE 97.5 DtD % Difference ----- Weighted VaE 97.5 Previous ----- Weighted VaE 97.5 Scenario Name(s) ----- Weighted VaE 97.5 Values ----- Weighted VaE 97.5 with % Difference ---- Weighted VaE 99 --- Value at Risk Datastores Calculations Guide Input file formats Weighted VaE 97.5 DtD % Difference Description Percentage change of Weighted VaE from one day to another at 97.5% confidence level. By default DtD. Relevant context values DayToDayDifference WeightedVaRLambda Weighted VaE 97.5 DtD Weighted VaE 97.5 Previous
Market Risk Accelerator Reference Guide v1.9.1