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CrossGamma Taylor ES 97.5 DtD
| Description |
DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
Difference between CrossGamma Taylor ES 97.5 and CrossGamma Taylor ES 97.5 Previous.
$$\text{CrossGamma Taylor ES 97.5 DtD}=\text{CrossGamma Taylor ES 97.5}-\text{CrossGamma Taylor ES 97.5 Previous}$$