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 --- Value at Risk ---- Taylor VaR ---- VaR ---- VaR 97.5 ---- VaR 99 ----- Booking ----- LEstimated VaR 99 ----- ReferenceLevel ----- Top ----- Trades ----- VaR 99 ----- VaR 99 Component BookHierarchy ----- VaR 99 Component Booking ----- VaR 99 Component Delta BookHierarchy ----- VaR 99 Component Delta Booking ----- VaR 99 DtD ----- VaR 99 DtD % Difference ----- VaR 99 Incremental ----- VaR 99 Previous ----- VaR 99 Scenario Name(s) ----- VaR 99 with % Difference ---- Weighted VaR ---- Weighted VaR 97.5 ---- Weighted VaR 99 Datastores Calculations Guide Input file formats VaR 99 Previous Description Value-at-Risk for the previous day at 99% confidence level. Relevant context values VaRConfidenceLevel DayToDayDifference VaR 99 Incremental VaR 99 Scenario Name(s)
Market Risk Accelerator Reference Guide v2.0.0