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Weighted VaR 97.5 Incremental Top
| Description |
Incremental variation of the Weighted VaR 97.5. 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 var 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 grand total location.
The Incremental Measures algorithm is used as the comparator.
The compared value is displayed as a Weighted VaR measure with a 97.5% confidence level, using the VaR Interpolation method.