Taylor VaR
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor VaR | Value at Risk with contextual confidence level | VaRConfidenceLevel |
| Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% | |
| Taylor VaR 99 | Value at Risk with fixed confidence level of 99% | |
| Taylor WVaR | Weighted Value at Risk with contextual confidence level | VaRConfidenceLevel, WeightedVaRLambda |
| Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% | |
| Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% | |
| Correlation Taylor VaR | Value at Risk with contextual confidence level for the Correlation sensitivity | VaRConfidenceLevel |
| Correlation Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | |
| Correlation Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Correlation Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor VaR | Value at Risk with contextual confidence level for the CrossGamma sensitivity | VaRConfidenceLevel |
| CrossGamma Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaR | Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| CrossGamma Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor VaR | Value at Risk with contextual confidence level for the Delta sensitivity | VaRConfidenceLevel |
| Delta Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Delta sensitivity | |
| Delta Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Delta sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Delta Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor VaR | Value at Risk with contextual confidence level for the Gamma sensitivity | VaRConfidenceLevel |
| Gamma Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | |
| Gamma Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Gamma Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor VaR | Value at Risk with contextual confidence level for the Vanna sensitivity | VaRConfidenceLevel |
| Vanna Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | |
| Vanna Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Vanna Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor VaR | Value at Risk with contextual confidence level for the Vega sensitivity | VaRConfidenceLevel |
| Vega Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Vega sensitivity | |
| Vega Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Vega sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Vega Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor VaR | Value at Risk with contextual confidence level for the Volga sensitivity | VaRConfidenceLevel |
| Volga Taylor VaR 97.5 | Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor VaR 99 | Value at Risk with fixed confidence level of 99% for the Volga sensitivity | |
| Volga Taylor WVaR | Weighted Value at Risk with contextual confidence level for the Volga sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Volga Taylor WVaR 97.5 | Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor WVaR 99 | Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
DtD
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level | VaRConfidenceLevel |
| Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% | |
| Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% | |
| Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level | VaRConfidenceLevel, WeightedVaRLambda |
| Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% | |
| Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% | |
| Correlation Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Correlation sensitivity | VaRConfidenceLevel |
| Correlation Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | |
| Correlation Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Correlation Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the CrossGamma sensitivity | VaRConfidenceLevel |
| CrossGamma Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| CrossGamma Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Delta sensitivity | VaRConfidenceLevel |
| Delta Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Delta sensitivity | |
| Delta Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Delta sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Delta Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Gamma sensitivity | VaRConfidenceLevel |
| Gamma Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | |
| Gamma Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Gamma Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Vanna sensitivity | VaRConfidenceLevel |
| Vanna Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | |
| Vanna Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Vanna Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Vega sensitivity | VaRConfidenceLevel |
| Vega Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Vega sensitivity | |
| Vega Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Vega sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Vega Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor VaR DtD | DtD difference for Value at Risk with contextual confidence level for the Volga sensitivity | VaRConfidenceLevel |
| Volga Taylor VaR 97.5 DtD | DtD difference for Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor VaR 99 DtD | DtD difference for Value at Risk with fixed confidence level of 99% for the Volga sensitivity | |
| Volga Taylor WVaR DtD | DtD difference for Weighted Value at Risk with contextual confidence level for the Volga sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Volga Taylor WVaR 97.5 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor WVaR 99 DtD | DtD difference for Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
DtD % difference
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level | VaRConfidenceLevel |
| Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% | |
| Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% | |
| Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level | VaRConfidenceLevel, WeightedVaRLambda |
| Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% | |
| Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% | |
| Correlation Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Correlation sensitivity | VaRConfidenceLevel |
| Correlation Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | |
| Correlation Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Correlation sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Correlation Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the CrossGamma sensitivity | VaRConfidenceLevel |
| CrossGamma Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| CrossGamma Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Delta sensitivity | VaRConfidenceLevel |
| Delta Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Delta sensitivity | |
| Delta Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Delta sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Delta Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Gamma sensitivity | VaRConfidenceLevel |
| Gamma Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | |
| Gamma Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Gamma sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Gamma Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Vanna sensitivity | VaRConfidenceLevel |
| Vanna Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | |
| Vanna Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Vanna sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Vanna Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Vega sensitivity | VaRConfidenceLevel |
| Vega Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Vega sensitivity | |
| Vega Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Vega sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Vega Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor VaR DtD % Difference | DtD difference in % for Value at Risk with contextual confidence level for the Volga sensitivity | VaRConfidenceLevel |
| Volga Taylor VaR 97.5 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor VaR 99 DtD % Difference | DtD difference in % for Value at Risk with fixed confidence level of 99% for the Volga sensitivity | |
| Volga Taylor WVaR DtD % Difference | DtD difference in % for Weighted Value at Risk with contextual confidence level for the Volga sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Volga Taylor WVaR 97.5 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor WVaR 99 DtD % Difference | DtD difference in % for Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
Previous
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level | VaRConfidenceLevel |
| Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% | |
| Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% | |
| Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level | VaRConfidenceLevel, WeightedVaRLambda |
| Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% | |
| Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% | |
| Correlation Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Correlation sensitivity | VaRConfidenceLevel |
| Correlation Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Correlation sensitivity | |
| Correlation Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Correlation sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Correlation Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the CrossGamma sensitivity | VaRConfidenceLevel |
| CrossGamma Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the CrossGamma sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| CrossGamma Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Delta sensitivity | VaRConfidenceLevel |
| Delta Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Delta sensitivity | |
| Delta Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Delta sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Delta Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Gamma sensitivity | VaRConfidenceLevel |
| Gamma Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Gamma sensitivity | |
| Gamma Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Gamma sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Gamma Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Vanna sensitivity | VaRConfidenceLevel |
| Vanna Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Vanna sensitivity | |
| Vanna Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Vanna sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Vanna Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Vega sensitivity | VaRConfidenceLevel |
| Vega Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Vega sensitivity | |
| Vega Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Vega sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Vega Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor VaR Previous | The Value at Risk of the previous day with contextual confidence level for the Volga sensitivity | VaRConfidenceLevel |
| Volga Taylor VaR 97.5 Previous | The Value at Risk of the previous day with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor VaR 99 Previous | The Value at Risk of the previous day with fixed confidence level of 99% for the Volga sensitivity | |
| Volga Taylor WVaR Previous | The Weighted Value at Risk of the previous day with contextual confidence level for the Volga sensitivity | VaRConfidenceLevel, WeightedVaRLambda |
| Volga Taylor WVaR 97.5 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor WVaR 99 Previous | The Weighted Value at Risk of the previous day with fixed confidence level of 99% for the Volga sensitivity |
LEstimated booking
| Measure | Description |
|---|---|
| Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level |
| Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% |
| Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% |
| Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level |
| Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% |
| Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% |
| Correlation Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Correlation Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Delta sensitivity |
| Delta Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Delta Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Delta Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Gamma Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Vanna Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Vega sensitivity |
| Vega Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Vega Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Vega Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk with contextual confidence level for the Volga sensitivity |
| Volga Taylor VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor VaR 99 LEstimated Booking | Contribution of the upper Booking of Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
| Volga Taylor WVaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with contextual confidence level for the Volga sensitivity |
| Volga Taylor WVaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor WVaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
LEstimated reference level
| Measure | Description |
|---|---|
| Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level |
| Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% |
| Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% |
| Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level |
| Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% |
| Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% |
| Correlation Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Correlation Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Delta sensitivity |
| Delta Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Delta Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Delta Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Gamma Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Vanna Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Vega sensitivity |
| Vega Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Vega Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Vega Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with contextual confidence level for the Volga sensitivity |
| Volga Taylor VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
| Volga Taylor WVaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with contextual confidence level for the Volga sensitivity |
| Volga Taylor WVaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor WVaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
LEstimated top
| Measure | Description |
|---|---|
| Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level |
| Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% |
| Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% |
| Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level |
| Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% |
| Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% |
| Correlation Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Correlation Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Delta sensitivity |
| Delta Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Delta Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Delta Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Gamma Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Vanna Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Vega sensitivity |
| Vega Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Vega Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Vega Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor VaR LEstimated Top | Contribution of the upper Top of Value at Risk with contextual confidence level for the Volga sensitivity |
| Volga Taylor VaR 97.5 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor VaR 99 LEstimated Top | Contribution of the upper Top of Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
| Volga Taylor WVaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with contextual confidence level for the Volga sensitivity |
| Volga Taylor WVaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor WVaR 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
LEstimated trades
| Measure | Description |
|---|---|
| Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level |
| Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% |
| Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% |
| Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level |
| Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% |
| Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% |
| Correlation Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| Correlation Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Delta sensitivity |
| Delta Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Delta Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Delta sensitivity |
| Delta Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Gamma Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Vanna Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Vega sensitivity |
| Vega Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Vega Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Vega sensitivity |
| Vega Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk with contextual confidence level for the Volga sensitivity |
| Volga Taylor VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor VaR 99 LEstimated Trades | Contribution of the upper Trades of Value at Risk with fixed confidence level of 99% for the Volga sensitivity |
| Volga Taylor WVaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with contextual confidence level for the Volga sensitivity |
| Volga Taylor WVaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor WVaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk with fixed confidence level of 99% for the Volga sensitivity |