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VaR 99 Component BookHierarchy
| Description |
Component variation of the VaR 99 along the BookHierarchy. Please refer to the Component measures chapter |
| Related methodologies |
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| Hierarchies required in the view |
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The Component VaR measures the contribution of each sub-portfolio along the BookHierarchy hierarchy to the overall VaR.
See the Component Measures chapter for the calculation methodology.
The confidence level is fixed at 99%.