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/correlation-taylor-tail-vae.html ---- Correlation Taylor Tail VaE test ../ test cube/correlation-taylor-tail-var.html ---- Correlation Taylor Tail VaR test ../ test cube/crossgamma-taylor-tail-vae.html ---- CrossGamma Taylor Tail VaE test ../ test cube/crossgamma-taylor-tail-var.html ---- CrossGamma Taylor Tail VaR test ../ test cube/delta-taylor-tail-vae.html ---- Delta Taylor Tail VaE test ../ test cube/delta-taylor-tail-var.html ---- Delta Taylor Tail VaR test ../ test cube/gamma-taylor-tail-vae.html ---- Gamma Taylor Tail VaE test ../ test cube/gamma-taylor-tail-var.html ---- Gamma Taylor Tail VaR test ../ test cube/taylor-tail-vae.html ---- Taylor Tail VaE test ../ test cube/taylor-tail-var.html ---- Taylor Tail VaR test ../ test cube/vanna-taylor-tail-vae.html ---- Vanna Taylor Tail VaE test ../ test cube/vanna-taylor-tail-var.html ---- Vanna Taylor Tail VaR test ../ test cube/vega-taylor-tail-vae.html ---- Vega Taylor Tail VaE test ../ test cube/vega-taylor-tail-var.html ---- Vega Taylor Tail VaR test ../ test cube/volga-taylor-tail-vae.html ---- Volga Taylor Tail VaE test ../ test cube/volga-taylor-tail-var.html ---- Volga Taylor Tail VaR 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/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 Taylor Tail VaE Description Best case PnL 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 This measure gives the value of the best scenario of the PnL vector. Gamma Taylor Tail VaR Taylor Tail VaR