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 ---- VaR 99 ----- LEstimated VaR 99 ----- VaR 99 ----- VaR 99 Component BookHierarchy ----- VaR 99 Component Booking ----- VaR 99 Component Delta BookHierarchy ----- VaR 99 Component Delta Booking ----- VaR 99 DtD ----- VaR 99 Incremental ----- VaR 99 Previous ----- VaR 99 Scenario Name(s) ---- Weighted VaR ---- Weighted VaR 97.5 ---- Weighted VaR 99 Datastores Calculations Guide Input file formats VaR 99 Previous Description Value-at-Risk for the previous day at 99% confidence level. Relevant context values VaRConfidenceLevel DayToDayDifference VaR 99 Incremental VaR 99 Scenario Name(s)
Market Risk Accelerator Cube Reference Guide v1.7.2