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ES 97.5 LEstimated Trades
| Description |
Contribution of the upper Trades of ES 97.5 |
| Related methodologies |
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| Hierarchies required in the view |
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The sum of the PnLVector field of the TradePnLs store is used to compute the expected shortfall with
two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the Trades hierarchy.
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.