Navigation :

Taylor VaE 99

Description	Value at Earnings 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 VaE
CrossGamma.Vector.PnL.VarExplain, intermediate measure of CrossGamma Taylor VaE
Delta.Vector.PnL.VarExplain, intermediate measure of Delta Taylor VaE
Gamma.Vector.PnL.VarExplain, intermediate measure of Gamma Taylor VaE
Vanna.Vector.PnL.VarExplain, intermediate measure of Vanna Taylor VaE
Vega.Vector.PnL.VarExplain, intermediate measure of Vega Taylor VaE
Volga.Vector.PnL.VarExplain, intermediate measure of Volga Taylor VaE

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

The VaE metric is the best PnL scenario at the selected quantile.