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Gamma Taylor VaR 99 DtD
| Description |
DtD difference for Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
Difference between Gamma Taylor VaR 99 and Gamma Taylor VaR 99 Previous.
$$\text{Gamma Taylor VaR 99 DtD}=\text{Gamma Taylor VaR 99}-\text{Gamma Taylor VaR 99 Previous}$$