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CrossGamma Taylor WVaR 99 LEstimated Top

Description Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% 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:

  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 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 WVaR measure with a 99% confidence level, using the Weighted VaR method.