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Gamma Taylor VaR 97.5 LEstimated Top

Description Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% 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 resulting Gamma.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 97.5% confidence level, using the VaR Interpolation method.