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Vega Taylor VaR 99 DtD
| Description |
DtD difference for Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
Difference between Vega Taylor VaR 99 and Vega Taylor VaR 99 Previous.
$$\text{Vega Taylor VaR 99 DtD}=\text{Vega Taylor VaR 99}-\text{Vega Taylor VaR 99 Previous}$$