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Volga Taylor ES 99 LEstimated Top

Description Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity

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

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

The resulting Volga.Vector.PnL.VarExplain is compared to its value at the grand total location. 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.