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VaR Component Delta Booking
| Description |
Component variation of the VaR daily change along the Booking Hierarchy. Please refer to the Component measures chapter |
| Related methodologies |
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| Relevant context values |
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| Hierarchies required in the view |
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The Component Delta VaR measures the contribution of each sub-portfolio along the BookHierarchy hierarchy to the day-to-day change of the VaR.
See the Component Measures chapter for the calculation methodology.
The confidence level is defined by the VaRConfidenceLevel context value.