Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/overview.html
- Atoti Market Risk overview
test ../ test getting-started/data-model.html
- Market Risk Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test getting-started/about.html
- Using this guide
test ../ test getting-started/whats-new.html
-
What's New
test ../ test dashboards.html
Dashboards
test ../ test calculations.html
Calculations Guide
test ../ test cube.html
Cube Reference
test ../ test cube/context-values.html
-
Context Values
test ../ test cube/dimensions.html
-
Dimensions
test ../ test cube/measures.html
-
Measures
test ../ test cube/measures/native-measures.html
--
Native measures
test ../ test cube/measures/pnl.html
--
PL Cube
test ../ test cube/measures/sensi.html
--
Sensitivity Cube
test ../ test cube/measures/unexplained-pnl.html
--
Unexplained PnL
test ../ test cube/measures/var.html
--
VaR-ES Cube
test ../ test cube/contributors.count.var.html
--- contributors.COUNT.VaR
test ../ test cube/trades-count.html
--- Trades Count
test ../ test cube/update.timestamp.var.html
--- update.TIMESTAMP.VaR
test ../ test cube/measures/var/adjustments.html
---
Adjustments
test ../ test cube/measures/var/expected-shortfall.html
---
Expected Shortfall
test ../ test cube/measures/var/expected-shortfall/es.html
----
ES
test ../ test cube/measures/var/expected-shortfall/es/booking.html
-----
Booking
test ../ test cube/es.html
----- ES
test ../ test cube/es-dtd.html
----- ES DtD
test ../ test cube/es-dtd-difference.html
----- ES DtD % Difference
test ../ test cube/es-previous.html
----- ES Previous
test ../ test cube/es-scenario-names.html
----- ES Scenario Name(s)
test ../ test cube/es-values.html
----- ES Values
test ../ test cube/es-with-difference.html
----- ES with % Difference
test ../ test cube/measures/var/expected-shortfall/es/referencelevel.html
-----
ReferenceLevel
test ../ test cube/measures/var/expected-shortfall/es/top.html
-----
Top
test ../ test cube/measures/var/expected-shortfall/es/trades.html
-----
Trades
test ../ test cube/es-incremental-trades.html
------ ES Incremental Trades
test ../ test cube/es-lestimated-trades.html
------ ES LEstimated Trades
test ../ test cube/measures/var/expected-shortfall/es-97.5.html
----
ES 97.5
test ../ test cube/measures/var/expected-shortfall/es-99.html
----
ES 99
test ../ test cube/measures/var/expected-shortfall/weighted-es.html
----
Weighted ES
test ../ test cube/measures/var/expected-shortfall/weighted-es-97.5.html
----
Weighted ES 97.5
test ../ test cube/measures/var/expected-shortfall/weighted-es-99.html
----
Weighted ES 99
test ../ test cube/measures/var/expected-tail-gain.html
---
Expected Tail Gain
test ../ test cube/measures/var/harrel-davis-var.html
---
Harrel-Davis VaR
test ../ test cube/measures/var/kpis.html
---
KPIs
test ../ test cube/measures/var/mtm.html
---
MTM
test ../ test cube/measures/var/notional.html
---
Notional
test ../ test cube/measures/var/tail.html
---
Tail
test ../ test cube/measures/var/technical.html
---
Technical
test ../ test cube/measures/var/utility.html
---
Utility
test ../ test cube/measures/var/value-at-earning.html
---
Value at Earning
test ../ test cube/measures/var/value-at-risk.html
---
Value at Risk
test ../ test datastore.html
Datastores
test ../ test input-files.html
Input file formats
test ../ test properties.html
Properties
test ../ test what-if.html
What-If Analysis
test ../ test database.html
Database
test ../ test sign-off.html
Sign-Off Approvals
test ../ test limits.html
Limit monitoring
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Releases and upgrades
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
test ../ test dev/dev-mr-application.html
-
The Market Risk Application
test ../ test dev/dev-libraries.html
-
Market Risk Libraries
test ../ test dev/dev-extensions.html
-
Extending Atoti Market Risk
test ../ test dev/dev-tools.html
-
Configuring tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test dev/dev-whatif.html
-
What-If
test ../ test dev/dev-direct-query.html
-
DirectQuery
test ../ test pdf-guides.html
PDF Guides
ES LEstimated Trades
Description
Contribution of the upper Trades of Expected Shortfall
Related methodologies
Relevant context values
Hierarchies required in the view
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 confidence level defined by the ESConfidenceLevel context value, using the VaR Interpolation method.