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Weighted VaE Incremental Reference Level
| Description |
Incremental variation of the Weighted VaE. Please refer to the Incremental Measures chapter linked below. |
| Related methodologies |
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| Relevant context values |
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The sum of the PnLVector field of the TradePnLs store is used to compute the weighted vae 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 value at the level defined by the ReferenceLevel context value.
The Incremental Measures algorithm is used as the comparator.
The compared value is displayed as a Weighted VaE measure with a confidence level defined by the VaEConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.