Navigation : Cube Reference - Context Values - Dimensions - Measures -- Native measures -- PnL -- Sensitivities -- Unexplained PnL -- VaR --- Trades Count --- Adjustments --- contributors.COUNT.VaR --- Expected Shortfall --- Expected Tail Gain --- Notional --- Tail --- Technical --- update.TIMESTAMP.VaR --- Utility --- Value At Earning --- Value At Risk ---- VaR ---- VaR 97.5 ----- LEstimated VaR 97.5 ----- VaR 97.5 ----- VaR 97.5 Component BookHierarchy ----- VaR 97.5 Component Booking ----- VaR 97.5 Component Delta BookHierarchy ----- VaR 97.5 Component Delta Booking ----- VaR 97.5 DtD ----- VaR 97.5 Incremental ----- VaR 97.5 Previous ----- VaR 97.5 Scenario Name(s) ---- VaR 99 ---- Weighted VaR ---- Weighted VaR 97.5 ---- Weighted VaR 99 Datastores Calculations Guide Input file formats VaR 97.5 Previous Description Value-at-Risk for the previous day at 97.5% confidence level. Relevant context values VaRConfidenceLevel DayToDayDifference VaR 97.5 Incremental VaR 97.5 Scenario Name(s)
Market Risk Accelerator Cube Reference Guide v1.7.2