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 --- Value at Risk ---- Taylor VaR ---- VaR ---- VaR 97.5 ---- VaR 99 ---- Weighted VaR ---- Weighted VaR 97.5 ---- Weighted VaR 99 ----- Booking ----- ReferenceLevel ----- Top ----- Trades ----- Weighted VaR 99 ----- Weighted VaR 99 DtD ----- Weighted VaR 99 DtD % Difference ----- Weighted VaR 99 Previous ----- Weighted VaR 99 Scenario Name(s) ----- Weighted VaR 99 Values ----- Weighted VaR 99 with % Difference Datastores Calculations Guide Input file formats Weighted VaR 99 Scenario Name(s) Description Scenarios that contribute to the weighted VaR at 99% confidence level. Note: This measure outputs a string Relevant context values DayToDayDifference Weighted VaR 99 Previous Weighted VaR 99 Values
Market Risk Accelerator Reference Guide v1.9.1