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Taylor ES 97.5 LEstimated Top

Description	Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5%

The following vectors are combined to calculate the pnl.for.var.explain vector:

Correlation.Vector.PnL.VarExplain, intermediate measure of Correlation Taylor ES
CrossGamma.Vector.PnL.VarExplain, intermediate measure of CrossGamma Taylor ES
Delta.Vector.PnL.VarExplain, intermediate measure of Delta Taylor ES
Gamma.Vector.PnL.VarExplain, intermediate measure of Gamma Taylor ES
Vanna.Vector.PnL.VarExplain, intermediate measure of Vanna Taylor ES
Vega.Vector.PnL.VarExplain, intermediate measure of Vega Taylor ES
Volga.Vector.PnL.VarExplain, intermediate measure of Volga Taylor ES

The resulting pnl.for.var.explain is compared to its value at the grand total location. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as an ES measure with a 97.5% confidence level, using the VaR Interpolation method.