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Vanna Taylor VaE 97.5 LEstimated Top

Description Contribution of the upper Top of Value at Earnings 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 resulting Vanna.Vector.PnL.VarExplain is compared to its value at the grand total location. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as a VaE measure with a 97.5% confidence level, using the VaR Interpolation method.