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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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Expected Tail Gain
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ETG
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Booking
----- ETG
----- ETG DtD
----- ETG DtD % Difference
----- ETG Incremental
----- ETG Incremental BookHierarchy
----- ETG Incremental Trades
----- ETG Previous
----- ETG Scenario Name(s)
----- ETG Scenario Name(s)
----- ETG Values
----- ETG with % Difference
----- LEstimated ETG
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ReferenceLevel
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Top
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Trades
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ETG 97.5
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ETG 99
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Weighted ETG
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Weighted ETG 97.5
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Weighted ETG 99
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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
ETG Incremental BookHierarchy
Description
Incremental variation of the Expected tail gain 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