The LEstimated VaR is a contributory measure. It is an additive measure such that the LEstimated VaRs of all Sub-Portfolios add up
to the VaR of the parent Portfolio.
The LEstimated VaR shows the simulated PL for the tail scenario, that has been identified as the VaR scenario for the parent Portfolio.
In the screenshot below, a pivot table displays VaR and LEstimated VaR. The total of the LEsimated VaRs for the sub-portfolios under the “Global Markets” node is -593k and equals the VaR value computed for the “Global Markets”. Although the VaR Scenario name(s) measure indicates that the VaR scenarios for each sub-portfolio were different, the LEstimated VaR has been based on the total portfolio VaR scenario 2018-08-20.
The following screenshot displays the PnLVectorExpand measure for the 2018-08-20 scenario. Indeed, the simulated PL values for the sub-portfolios match their LEstimated VaR values.
If the BookHierarchy is expanded further, the LEstimated VaR for the Level3 sub-portfolios will match the VaR Scenario computed for the Level2 parent, which is 2018-09-05 in our example.
