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 ----- Average ----- LEstimated VaR ----- Parametric VaR ----- PnL accumulated distribution ----- PnL distribution ----- Standard deviation ----- VaR ----- VaR Component BookHierarchy ----- VaR Component Booking ----- VaR Component Delta BookHierarchy ----- VaR Component Delta Booking ----- VaR DtD ----- VaR DtD % Difference ----- VaR Incremental BookHierarchy ----- VaR Incremental Trades ----- VaR Previous ----- VaR Scenario Name(s) ----- VaR Values ----- VaR with % Difference ---- VaR 97.5 ---- VaR 99 ---- Weighted VaR ---- Weighted VaR 97.5 ---- Weighted VaR 99 Datastores Calculations Guide Input file formats VaR with % Difference Description VaR with percentage difference in brackets. Note: This measure outputs a string. Relevant context values VaRConfidenceLevel DayToDayDifference PnLStart PnLEnd VaR Values VaR 97.5
Market Risk Accelerator Cube Reference Guide v1.7.2