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 ---- VaE ---- VaE 97.5 ---- VaE 99 ---- Weighted VaE ---- Weighted VaE 97.5 ----- Weighted 97.5 VaE Previous ----- Weighted VaE 97.5 ----- Weighted VaE 97.5 DtD ----- Weighted VaE 97.5 DtD % Difference ----- 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 Scenario Name(s)
Market Risk Accelerator Cube Reference Guide v1.7.2