Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/overview.html
- Atoti Market Risk overview
test ../ test getting-started/data-model.html
- Market Risk Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test getting-started/about.html
- Using this guide
test ../ test getting-started/whats-new.html
-
What's New
test ../ test dashboards.html
Dashboards
test ../ test calculations.html
Calculations Guide
test ../ test cube.html
Cube Reference
test ../ test cube/context-values.html
-
Context Values
test ../ test cube/dimensions.html
-
Dimensions
test ../ test cube/measures.html
-
Measures
test ../ test cube/measures/native-measures.html
--
Native measures
test ../ test cube/measures/pnl.html
--
PL Cube
test ../ test cube/measures/sensi.html
--
Sensitivity Cube
test ../ test cube/contributors.count.sensi.html
--- contributors.COUNT.Sensi
test ../ test cube/sensi-trades-count.html
--- Sensi Trades Count
test ../ test cube/update.timestamp.sensi.html
--- update.TIMESTAMP.Sensi
test ../ test cube/measures/sensi/adjustments.html
---
Adjustments
test ../ test cube/all-day-count.html
--- All day count
test ../ test cube/measures/sensi/expected-shortfall.html
---
Expected Shortfall
test ../ test cube/measures/sensi/expected-tail-gain.html
---
Expected Tail Gain
test ../ test cube/measures/sensi/market-data.html
---
Market Data
test ../ test cube/measures/sensi/pnl-explain.html
---
PnL Explain
test ../ test cube/measures/sensi/sensitivities.html
---
Sensitivities
test ../ test cube/sensitivity-notional.html
--- Sensitivity Notional
test ../ test cube/sensitivity-notional-native.html
--- Sensitivity Notional Native
test ../ test cube/sensitivity-original-notional.html
--- Sensitivity Original Notional
test ../ test cube/sensitivity-original-notional-native.html
--- Sensitivity Original Notional Native
test ../ test cube/measures/sensi/shift.html
---
Shift
test ../ test cube/measures/sensi/tail.html
---
Tail
test ../ test cube/measures/sensi/utility.html
---
Utility
test ../ test cube/measures/sensi/value-at-earnings.html
---
Value at Earnings
test ../ test cube/measures/sensi/value-at-risk.html
---
Value at Risk
test ../ test cube/measures/sensi/value-at-risk/taylor.html
----
Taylor
test ../ test cube/measures/sensi/value-at-risk/taylor/correlation.html
-----
Correlation
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma.html
-----
CrossGamma
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/var.html
------
VaR
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/var/booking.html
-------
Booking
test ../ test cube/crossgamma-taylor-var.html
------- CrossGamma Taylor VaR
test ../ test cube/crossgamma-taylor-var-dtd.html
------- CrossGamma Taylor VaR DtD
test ../ test cube/crossgamma-taylor-var-dtd-difference.html
------- CrossGamma Taylor VaR DtD % Difference
test ../ test cube/crossgamma-taylor-var-previous.html
------- CrossGamma Taylor VaR Previous
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/var/reference-level.html
-------
Reference level
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/var/top.html
-------
Top
test ../ test cube/crossgamma-taylor-var-97.5-lestimated-top.html
-------- CrossGamma Taylor VaR 97.5 LEstimated Top
test ../ test cube/crossgamma-taylor-var-99-lestimated-top.html
-------- CrossGamma Taylor VaR 99 LEstimated Top
test ../ test cube/crossgamma-taylor-var-lestimated-top.html
-------- CrossGamma Taylor VaR LEstimated Top
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/var/trades.html
-------
Trades
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/var-97.5.html
------
VaR 97.5
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/var-99.html
------
VaR 99
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/wvar.html
------
WVaR
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/wvar-97.5.html
------
WVaR 97.5
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma/wvar-99.html
------
WVaR 99
test ../ test cube/measures/sensi/value-at-risk/taylor/delta.html
-----
Delta
test ../ test cube/measures/sensi/value-at-risk/taylor/gamma.html
-----
Gamma
test ../ test cube/measures/sensi/value-at-risk/taylor/vanna.html
-----
Vanna
test ../ test cube/measures/sensi/value-at-risk/taylor/var.html
-----
VaR
test ../ test cube/measures/sensi/value-at-risk/taylor/var-97.5.html
-----
VaR 97.5
test ../ test cube/measures/sensi/value-at-risk/taylor/var-99.html
-----
VaR 99
test ../ test cube/measures/sensi/value-at-risk/taylor/vega.html
-----
Vega
test ../ test cube/measures/sensi/value-at-risk/taylor/volga.html
-----
Volga
test ../ test cube/measures/sensi/value-at-risk/taylor/wvar.html
-----
WVaR
test ../ test cube/measures/sensi/value-at-risk/taylor/wvar-97.5.html
-----
WVaR 97.5
test ../ test cube/measures/sensi/value-at-risk/taylor/wvar-99.html
-----
WVaR 99
test ../ test cube/measures/unexplained-pnl.html
--
Unexplained PnL
test ../ test cube/measures/var.html
--
VaR-ES Cube
test ../ test datastore.html
Datastores
test ../ test input-files.html
Input file formats
test ../ test properties.html
Properties
test ../ test what-if.html
What-If Analysis
test ../ test database.html
Database
test ../ test sign-off.html
Sign-Off Approvals
test ../ test limits.html
Limit monitoring
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Releases and upgrades
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
test ../ test dev/dev-mr-application.html
-
The Market Risk Application
test ../ test dev/dev-libraries.html
-
Market Risk Libraries
test ../ test dev/dev-extensions.html
-
Extending Atoti Market Risk
test ../ test dev/dev-tools.html
-
Configuring tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test dev/dev-whatif.html
-
What-If
test ../ test dev/dev-direct-query.html
-
DirectQuery
test ../ test pdf-guides.html
PDF Guides
CrossGamma Taylor VaR LEstimated Top
Description
Contribution of the upper Top of Value at Risk with contextual confidence level for the CrossGamma sensitivity
Relevant context values
The CrossGamma sensitivity is used to compute the Taylor VaR PnL vector on the local currency using consecutively:
The Taylor VaR calculation to compute the CrossGamma.Vector.PnL.VarExplain.Native on trade currency.
The Sub PnL Vector transformation to produce CrossGamma.Sub.Vector.PnL.VarExplain.Native.
The FX Effect on VaR calculation to convert it to the display currency as CrossGamma.Vector.PnL.VarExplain.
The resulting CrossGamma.Vector.PnL.VarExplain is compared to its value at the grand total location.
The LEstimated Measures algorithm is used as the comparator.
The compared value is displayed as a VaR metric with a confidence level defined by the VaRConfidenceLevel context value, using the VaR Interpolation method.