Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/overview.html
- Atoti Market Risk overview
test ../ test getting-started/data-model.html
- Market Risk Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test getting-started/about.html
- Using this guide
test ../ test getting-started/whats-new.html
-
What's New
test ../ test dashboards.html
Dashboards
test ../ test calculations.html
Calculations Guide
test ../ test cube.html
Cube Reference
test ../ test cube/context-values.html
-
Context Values
test ../ test cube/dimensions.html
-
Dimensions
test ../ test cube/measures.html
-
Measures
test ../ test cube/measures/native-measures.html
--
Native measures
test ../ test cube/measures/pnl.html
--
PL Cube
test ../ test cube/measures/sensi.html
--
Sensitivity Cube
test ../ test cube/contributors.count.sensi.html
--- contributors.COUNT.Sensi
test ../ test cube/sensi-trades-count.html
--- Sensi Trades Count
test ../ test cube/update.timestamp.sensi.html
--- update.TIMESTAMP.Sensi
test ../ test cube/measures/sensi/adjustments.html
---
Adjustments
test ../ test cube/all-day-count.html
--- All day count
test ../ test cube/measures/sensi/expected-shortfall.html
---
Expected Shortfall
test ../ test cube/measures/sensi/expected-tail-gain.html
---
Expected Tail Gain
test ../ test cube/measures/sensi/market-data.html
---
Market Data
test ../ test cube/measures/sensi/pnl-explain.html
---
PnL Explain
test ../ test cube/measures/sensi/sensitivities.html
---
Sensitivities
test ../ test cube/sensitivity-notional.html
--- Sensitivity Notional
test ../ test cube/sensitivity-notional-native.html
--- Sensitivity Notional Native
test ../ test cube/sensitivity-original-notional.html
--- Sensitivity Original Notional
test ../ test cube/sensitivity-original-notional-native.html
--- Sensitivity Original Notional Native
test ../ test cube/measures/sensi/shift.html
---
Shift
test ../ test cube/measures/sensi/tail.html
---
Tail
test ../ test cube/measures/sensi/utility.html
---
Utility
test ../ test cube/measures/sensi/value-at-earnings.html
---
Value at Earnings
test ../ test cube/measures/sensi/value-at-risk.html
---
Value at Risk
test ../ test cube/measures/sensi/value-at-risk/taylor.html
----
Taylor
test ../ test cube/measures/sensi/value-at-risk/taylor/correlation.html
-----
Correlation
test ../ test cube/measures/sensi/value-at-risk/taylor/crossgamma.html
-----
CrossGamma
test ../ test cube/measures/sensi/value-at-risk/taylor/delta.html
-----
Delta
test ../ test cube/measures/sensi/value-at-risk/taylor/gamma.html
-----
Gamma
test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var.html
------
VaR
test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var-97.5.html
------
VaR 97.5
test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/var-99.html
------
VaR 99
test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/wvar.html
------
WVaR
test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/wvar-97.5.html
------
WVaR 97.5
test ../ test cube/measures/sensi/value-at-risk/taylor/gamma/wvar-99.html
------
WVaR 99
test ../ test cube/gamma-taylor-wvar-99.html
------- Gamma Taylor WVaR 99
test ../ test cube/gamma-taylor-wvar-99-dtd.html
------- Gamma Taylor WVaR 99 DtD
test ../ test cube/gamma-taylor-wvar-99-dtd-difference.html
------- Gamma Taylor WVaR 99 DtD % Difference
test ../ test cube/gamma-taylor-wvar-99-previous.html
------- Gamma Taylor WVaR 99 Previous
test ../ test cube/measures/sensi/value-at-risk/taylor/vanna.html
-----
Vanna
test ../ test cube/measures/sensi/value-at-risk/taylor/var.html
-----
VaR
test ../ test cube/measures/sensi/value-at-risk/taylor/var-97.5.html
-----
VaR 97.5
test ../ test cube/measures/sensi/value-at-risk/taylor/var-99.html
-----
VaR 99
test ../ test cube/measures/sensi/value-at-risk/taylor/vega.html
-----
Vega
test ../ test cube/measures/sensi/value-at-risk/taylor/volga.html
-----
Volga
test ../ test cube/measures/sensi/value-at-risk/taylor/wvar.html
-----
WVaR
test ../ test cube/measures/sensi/value-at-risk/taylor/wvar-97.5.html
-----
WVaR 97.5
test ../ test cube/measures/sensi/value-at-risk/taylor/wvar-99.html
-----
WVaR 99
test ../ test cube/measures/unexplained-pnl.html
--
Unexplained PnL
test ../ test cube/measures/var.html
--
VaR-ES Cube
test ../ test datastore.html
Datastores
test ../ test input-files.html
Input file formats
test ../ test properties.html
Properties
test ../ test what-if.html
What-If Analysis
test ../ test database.html
Database
test ../ test sign-off.html
Sign-Off Approvals
test ../ test limits.html
Limit monitoring
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Releases and upgrades
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
test ../ test dev/dev-mr-application.html
-
The Market Risk Application
test ../ test dev/dev-libraries.html
-
Market Risk Libraries
test ../ test dev/dev-extensions.html
-
Extending Atoti Market Risk
test ../ test dev/dev-tools.html
-
Configuring tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test dev/dev-whatif.html
-
What-If
test ../ test dev/dev-direct-query.html
-
DirectQuery
test ../ test pdf-guides.html
PDF Guides
Gamma Taylor WVaR 99 Previous
Description
The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Gamma sensitivity
Relevant context values
Difference between Gamma Taylor WVaR 99 and Gamma Taylor WVaR 99 Previous expressed in percentage.
$$\text{Gamma Taylor WVaR 99 DtD % Difference}=\frac{\text{Gamma Taylor WVaR 99}-\text{Gamma Taylor WVaR 99 Previous}}{\text{Gamma Taylor WVaR 99 Previous}}$$