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 ---- Weighted VaE ---- Weighted VaE 97.5 ---- Weighted VaE 99 ----- Booking ----- ReferenceLevel ----- Top ----- Trades ----- Weighted VaE 99 ----- Weighted VaE 99 DtD ----- Weighted VaE 99 DtD % Difference ----- Weighted VaE 99 Previous ----- Weighted VaE 99 Scenario Name(s) ----- Weighted VaE 99 Values ----- Weighted VaE 99 with % Difference --- Value at Risk Datastores Calculations Guide Input file formats Weighted VaE 99 Previous Description The Weighted VaE of the previous day at 99% confidence level Relevant context values DayToDayDifference WeightedVaRLambda Weighted VaE 99 DtD % Difference Weighted VaE 99 Scenario Name(s)
Market Risk Accelerator Reference Guide v2.0.0