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 ---- ES ---- ES 97.5 ---- ES 99 ---- Weighted ES ---- Weighted ES 97.5 ---- Weighted ES 99 ----- Booking ----- ReferenceLevel ----- Top ----- Trades ----- Weighted ES 99 ----- Weighted ES 99 DtD ----- Weighted ES 99 DtD % Difference ----- Weighted ES 99 Previous ----- Weighted ES 99 Scenario Name(s) ----- Weighted ES 99 Values ----- Weighted ES 99 with % Difference --- Expected Tail Gain --- KPIs --- Notional --- Tail --- Technical --- Utility --- Value at Earning --- Value at Risk Datastores Calculations Guide Input file formats Weighted ES 99 DtD % Difference Description Percentage change of Weighted ES from one day to another at 99% confidence level. By default DtD. Relevant context values DayToDayDifference WeightedVaRLambda Weighted ES 99 DtD Weighted ES 99 Previous
Market Risk Accelerator Reference Guide v2.0.0