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Vega Taylor ES 99 LEstimated Trades

Description Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity
Hierarchies required in the view

The Vega sensitivity is used to compute the Taylor VaR PnL vector on the local currency using consecutively:

  1. The Taylor VaR calculation to compute the Vega.Vector.PnL.VarExplain.Native on trade currency.
  2. The Sub PnL Vector transformation to produce Vega.Sub.Vector.PnL.VarExplain.Native.
  3. The FX Effect on VaR calculation to convert it to the display currency as Vega.Vector.PnL.VarExplain.

The resulting Vega.Vector.PnL.VarExplain is compared to its drill-up value along the Trades hierarchy. The LEstimated Measures algorithm is used as the comparator.

The compared value is displayed as an ES measure with a 99% confidence level, using the VaR Interpolation method.