☰
Navigation :

ES 97.5 LEstimated Top

Description Contribution of the upper Top of ES 97.5
Related methodologies

The sum of the PnLVector field of the TradePnLs store is used to compute the expected shortfall with two more steps:

  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. The FX Effect on VaR calculation to convert it to the display currency as VaRFXVector.

The resulting VaRFXVector 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 an ES measure with a 97.5% confidence level, using the VaR Interpolation method.