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VaR 99 Component Delta Trades
| Description |
Component DtD explanation of the upper Trades of VaR 99 |
| Hierarchies required in the view |
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The Component Delta VaR measures the contribution of each trade along the Trades hierarchy to the day-to-day change of the VaR.
See the Component Measures chapter for the calculation methodology.
The confidence level is fixed at 99%.