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Vanna Taylor WVaR 97.5

Description Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity
Relevant context values

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 WVaR measure with a confidence level of 97.5%, using the VaR Interpolation method.

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