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CrossGamma Taylor VaE 97.5

Description Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity

The CrossGamma sensitivity is used to compute the Taylor VaR PnL vector on the local currency using consecutively:

  1. The Taylor VaR calculation to compute the CrossGamma.Vector.PnL.VarExplain.Native on trade currency.
  2. The Sub PnL Vector transformation to produce CrossGamma.Sub.Vector.PnL.VarExplain.Native.
  3. The FX Effect on VaR calculation to convert it to the display currency as CrossGamma.Vector.PnL.VarExplain.

The PnL vector is used by the VaE metric with a confidence level of 97.5%, using the VaR Interpolation method.

The VaE metric is the best PnL scenario at the selected quantile.