Taylor ES
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor ES | Expected Shortfall with contextual confidence level | ESConfidenceLevel |
| Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% | |
| Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% | |
| Correlation Taylor ES | Expected Shortfall with contextual confidence level for the Correlation sensitivity | ESConfidenceLevel |
| Correlation Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor ES | Expected Shortfall with contextual confidence level for the CrossGamma sensitivity | ESConfidenceLevel |
| CrossGamma Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor ES | Expected Shortfall with contextual confidence level for the Delta sensitivity | ESConfidenceLevel |
| Delta Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor ES | Expected Shortfall with contextual confidence level for the Gamma sensitivity | ESConfidenceLevel |
| Gamma Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor ES | Expected Shortfall with contextual confidence level for the Vanna sensitivity | ESConfidenceLevel |
| Vanna Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor ES | Expected Shortfall with contextual confidence level for the Vega sensitivity | ESConfidenceLevel |
| Vega Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor ES | Expected Shortfall with contextual confidence level for the Volga sensitivity | ESConfidenceLevel |
| Volga Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor ES 99 | Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity |
DtD
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level | ESConfidenceLevel |
| Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% | |
| Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% | |
| Correlation Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Correlation sensitivity | ESConfidenceLevel |
| Correlation Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the CrossGamma sensitivity | ESConfidenceLevel |
| CrossGamma Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Delta sensitivity | ESConfidenceLevel |
| Delta Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Gamma sensitivity | ESConfidenceLevel |
| Gamma Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Vanna sensitivity | ESConfidenceLevel |
| Vanna Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Vega sensitivity | ESConfidenceLevel |
| Vega Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor ES DtD | DtD difference for Expected Shortfall with contextual confidence level for the Volga sensitivity | ESConfidenceLevel |
| Volga Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor ES 99 DtD | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity |
DtD % difference
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level | ESConfidenceLevel |
| Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% | |
| Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% | |
| Correlation Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Correlation sensitivity | ESConfidenceLevel |
| Correlation Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the CrossGamma sensitivity | ESConfidenceLevel |
| CrossGamma Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Delta sensitivity | ESConfidenceLevel |
| Delta Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Gamma sensitivity | ESConfidenceLevel |
| Gamma Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Vanna sensitivity | ESConfidenceLevel |
| Vanna Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Vega sensitivity | ESConfidenceLevel |
| Vega Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor ES DtD % Difference | DtD difference in % for Expected Shortfall with contextual confidence level for the Volga sensitivity | ESConfidenceLevel |
| Volga Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor ES 99 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity |
Previous
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level | ESConfidenceLevel |
| Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% | |
| Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% | |
| Correlation Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Correlation sensitivity | ESConfidenceLevel |
| Correlation Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the CrossGamma sensitivity | ESConfidenceLevel |
| CrossGamma Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Delta sensitivity | ESConfidenceLevel |
| Delta Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Gamma sensitivity | ESConfidenceLevel |
| Gamma Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Vanna sensitivity | ESConfidenceLevel |
| Vanna Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Vega sensitivity | ESConfidenceLevel |
| Vega Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor ES Previous | The Expected Shortfall of the previous day with contextual confidence level for the Volga sensitivity | ESConfidenceLevel |
| Volga Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor ES 99 Previous | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Volga sensitivity |
LEstimated booking
| Measure | Description |
|---|---|
| Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level |
| Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% |
| Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% |
| Correlation Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Delta Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Vega Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Volga sensitivity |
| Volga Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor ES 99 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity |
LEstimated reference level
| Measure | Description |
|---|---|
| Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level |
| Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% |
| Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% |
| Correlation Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Delta Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Vega Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Volga sensitivity |
| Volga Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity |
LEstimated top
| Measure | Description |
|---|---|
| Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level |
| Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% |
| Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% |
| Correlation Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Delta Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Vega Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor ES LEstimated Top | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Volga sensitivity |
| Volga Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor ES 99 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity |
LEstimated trades
| Measure | Description |
|---|---|
| Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level |
| Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% |
| Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% |
| Correlation Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Delta sensitivity |
| Delta Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Vega sensitivity |
| Vega Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Volga sensitivity |
| Volga Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor ES 99 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity |