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Weighted ETG 99 Incremental Trades
| Description |
Incremental variation of the Weighted ETG 99 that computes the contribution of trades. Refer to the Incremental 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 sum of the PnLVector field of the TradePnLs store is used to compute the weighted etg with
two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- The FX Effect on VaR calculation to convert it to the display currency as
VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the Trades hierarchy.
The Incremental Measures algorithm is used as the comparator.
The compared value is displayed as a Weighted ETG measure with a 99% confidence level, using the VaR Interpolation method.