☰
Navigation :

Gamma Taylor WVaE 97.5

Description Weighted Value at Earnings 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 Weighted VaE measure with a confidence level of 97.5%, using the VaR Interpolation method.

The VaE metric is the best PnL scenario using the Weighted VaR method.