Navigation :
Gamma Taylor WVaR DtD % Difference
| Description |
DtD difference in % for Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Relevant context values |
|
Difference between Gamma Taylor WVaR and Gamma Taylor WVaR Previous expressed in percentage.
$$\text{Gamma Taylor WVaR DtD % Difference}=\frac{\text{Gamma Taylor WVaR}-\text{Gamma Taylor WVaR Previous}}{\text{Gamma Taylor WVaR Previous}}$$