Navigation :

Taylor ETG 99

Description	Expected Tail Gain with fixed confidence level of 99%

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

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

The PnL vector is used by the ETG measure with a confidence level of 99%, using the VaR Interpolation method.

The ETG measure is the average of the best PnL scenario above the selected quantile.