☰
Navigation :

Delta Taylor VaR 99 LEstimated Top

Description Contribution of the upper Top of Value at Risk 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 resulting Delta.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 measure with a 99% confidence level, using the VaR Interpolation method.