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Cube Reference
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Context Values
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Dimensions
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Measures
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Native measures
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PL Cube
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Sensitivities Cube
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Unexplained PnL
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Value at Risk
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VaR-ES Cube
--- contributors.COUNT.VaR
--- Trades Count
--- update.TIMESTAMP.VaR
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Adjustments
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Expected Shortfall
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ES
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Booking
----- ES
----- ES DtD
----- ES DtD % Difference
----- ES Incremental
----- ES Incremental BookHierarchy
----- ES Incremental Trades
----- ES Previous
----- ES Scenario Name(s)
----- ES Scenario Name(s)
----- ES Values
----- ES with % Difference
----- LEstimated ES
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ReferenceLevel
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Top
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Trades
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ES 97.5
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ES 99
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Weighted ES
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Weighted ES 97.5
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Weighted ES 99
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Expected Tail Gain
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KPIs
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Notional
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Tail
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Technical
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Utility
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Value at Earning
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Value at Risk
Datastores
Calculations Guide
Input file formats
ES Incremental BookHierarchy
Description
Incremental variation of the Expected shortfall that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter
Related methodologies
Relevant context values
Market Risk Accelerator Reference Guide v2.0.0