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Delta Taylor ES 99

Description Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity

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

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

The PnL vector is used by the ES measure with a confidence level of 99%, using the VaR Interpolation method.

The ES metric is the average of the worst PnL scenario above the selected quantile.