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