Navigation :

Taylor WVaE 99

Description	Weighted 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 WVaE
CrossGamma.Vector.PnL.VarExplain, intermediate measure of CrossGamma Taylor WVaE
Delta.Vector.PnL.VarExplain, intermediate measure of Delta Taylor WVaE
Gamma.Vector.PnL.VarExplain, intermediate measure of Gamma Taylor WVaE
Vanna.Vector.PnL.VarExplain, intermediate measure of Vanna Taylor WVaE
Vega.Vector.PnL.VarExplain, intermediate measure of Vega Taylor WVaE
Volga.Vector.PnL.VarExplain, intermediate measure of Volga Taylor WVaE

The PnL vector is used by the WVaE measure with a confidence level of 99%.

The WVaE metric is the best PnL scenario using the Weighted VaR method.