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Vanna Taylor ETG 97.5

Description Expected Tail Gain with fixed confidence level of 97.5% for the Vanna sensitivity

The Vanna sensitivity is used to compute the Taylor VaR PnL vector on the local currency using consecutively:

  1. The Taylor VaR calculation to compute the Vanna.Vector.PnL.VarExplain.Native on trade currency.
  2. The Sub PnL Vector transformation to produce Vanna.Sub.Vector.PnL.VarExplain.Native.
  3. The FX Effect on VaR calculation to convert it to the display currency as Vanna.Vector.PnL.VarExplain.

The PnL vector is used by the ETG measure with a confidence level of 97.5%, using the VaR Interpolation method.

The ETG measure is the average of the best PnL scenario above the selected quantile.