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Gamma Taylor VaR 97.5

Description 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 PnL vector is used by the VaR measure with a confidence level of 97.5%, using the VaR Interpolation method.

The VaR metric is the worst PnL scenario at the selected quantile.