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 --- Value at Risk ---- Taylor VaR ---- VaR ---- VaR 97.5 ---- VaR 99 ---- Weighted VaR ----- Booking ----- ReferenceLevel ----- Top ----- Trades ----- Weighted VaR ----- Weighted VaR DtD ----- Weighted VaR DtD % Difference ----- Weighted VaR Previous ----- Weighted VaR Scenario Name(s) ----- Weighted VaR Values ----- Weighted VaR with % Difference ---- Weighted VaR 97.5 ---- Weighted VaR 99 Datastores Calculations Guide Input file formats Weighted VaR Values Description PnL values that contribute to the weighted VaR. Note: This measure outputs a string Relevant context values VaRConfidenceLevel DayToDayDifference Weighted VaR Scenario Name(s) Weighted VaR with % Difference
Market Risk Accelerator Reference Guide v2.0.0