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