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Gamma Taylor VaR 99 LEstimated Trades

Description Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity
Hierarchies required in the view

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 drill-up value along the Trades hierarchy. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a VaR measure with a 99% confidence level, using the VaR Interpolation method.