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Taylor VaR 99 DtD % Difference
| Description |
DtD difference in % for Value at Risk with fixed confidence level of 99% |
Difference between Taylor VaR 99 and Taylor VaR 99 Previous expressed in percentage.
$$\text{Taylor VaR 99 DtD % Difference}=\frac{\text{Taylor VaR 99}-\text{Taylor VaR 99 Previous}}{\text{Taylor VaR 99 Previous}}$$