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 ---- Weighted VaR ---- Weighted VaR 97.5 ---- Weighted VaR 99 ----- Weighted VaR 99 ----- Weighted VaR 99 DtD ----- Weighted VaR 99 Previous ----- Weighted VaR 99 Scenario Name(s) ----- Weighted VaR 99 Values ----- Weighted VaR 99 with % Difference ----- Weighted VaR DtD 99 % Difference Datastores Calculations Guide Input file formats Weighted VaR 99 with % Difference Description Weighted VaR with percentage difference in brackets at 99% confidence level. Note: This measure outputs a string Relevant context values DayToDayDifference WeightedVaRLambda Weighted VaR 99 Values Weighted VaR DtD 99 % Difference
Market Risk Accelerator Cube Reference Guide v1.7.2