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 ----- Booking ----- ReferenceLevel ----- Top ----- Trades ----- Weighted VaE ----- Weighted VaE DtD ----- Weighted VaE DtD % Difference ----- Weighted VaE Previous ----- Weighted VaE Scenario Name(s) ----- Weighted VaE Values ----- Weighted VaE with % Difference ---- Weighted VaE 97.5 ---- Weighted VaE 99 --- Value at Risk Datastores Calculations Guide Input file formats Weighted VaE with % Difference Description Weighted VaE with percentage difference in brackets. Note: This measure outputs a string Relevant context values DayToDayDifference VaEConfidenceLevel WeightedVaRLambda Weighted VaE Values Weighted VaE 97.5
Market Risk Accelerator Reference Guide v2.0.0