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Gamma Taylor VaR DtD
| Description |
DtD difference for Value at Risk with contextual confidence level for the Gamma sensitivity |
| Relevant context values |
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Difference between Gamma Taylor VaR and Gamma Taylor VaR Previous.
$$\text{Gamma Taylor VaR DtD}=\text{Gamma Taylor VaR}-\text{Gamma Taylor VaR Previous}$$