Tail
| Measure | Description |
|---|---|
| Taylor Tail VaE | Best case PnL |
| Taylor Tail VaR | Worst case PnL |
| Correlation Taylor Tail VaE | Best case PnL for the Correlation sensitivity |
| Correlation Taylor Tail VaR | Worst case PnL for the Correlation sensitivity |
| CrossGamma Taylor Tail VaE | Best case PnL for the CrossGamma sensitivity |
| CrossGamma Taylor Tail VaR | Worst case PnL for the CrossGamma sensitivity |
| Delta Taylor Tail VaE | Best case PnL for the Delta sensitivity |
| Delta Taylor Tail VaR | Worst case PnL for the Delta sensitivity |
| Gamma Taylor Tail VaE | Best case PnL for the Gamma sensitivity |
| Gamma Taylor Tail VaR | Worst case PnL for the Gamma sensitivity |
| Vanna Taylor Tail VaE | Best case PnL for the Vanna sensitivity |
| Vanna Taylor Tail VaR | Worst case PnL for the Vanna sensitivity |
| Vega Taylor Tail VaE | Best case PnL for the Vega sensitivity |
| Vega Taylor Tail VaR | Worst case PnL for the Vega sensitivity |