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VaE 99 Incremental Reference Level
| Description |
Incremental variation of the VaE 99. Please refer to the Incremental Measures chapter linked below. |
| Related methodologies |
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| Relevant context values |
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The sum of the PnLVector field of the TradePnLs store is used to compute the vae with
two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its value at the level defined by the ReferenceLevel context value.
The Incremental Measures algorithm is used as the comparator.
The compared value is displayed as a VaE measure with a 99% confidence level, using the VaR Interpolation method.