Navigation : Cube Reference - Context Values - Dimensions - Measures -- Native measures -- PL Cube -- Sensitivities Cube -- Unexplained PnL -- Value at Risk -- VaR-ES Cube --- contributors.COUNT.VaR --- Trades Count --- update.TIMESTAMP.VaR --- Adjustments --- Expected Shortfall --- Expected Tail Gain --- KPIs --- Notional --- Tail --- Technical --- Utility --- Value at Earning ---- VaE ---- VaE 97.5 ---- VaE 99 ----- Booking ----- LEstimated VaE 99 ----- ReferenceLevel ----- Top ----- Trades ----- VaE 99 ----- VaE 99 DtD ----- VaE 99 DtD % Difference ----- VaE 99 Previous ----- VaE 99 Scenario Name(s) ----- VaE 99 with % Difference ---- Weighted VaE ---- Weighted VaE 97.5 ---- Weighted VaE 99 --- Value at Risk Datastores Calculations Guide Input file formats VaE 99 DtD % Difference Description Percentage change of VaE 99 from one day to another. By default DtD. Relevant context values DayToDayDifference VAEConfidenceLevel VaE 99 DtD VaE 99 Previous
Market Risk Accelerator Reference Guide v2.0.0