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Gamma Taylor ES 99

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

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

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