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ES and Weighted ES

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DtD

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DtD % difference

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Previous

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Scenario name(s)

All measures in this section output a string.

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Values

All measures in this section output a string.

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With % difference

All measures in this section output a string.

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Booking

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Incremental booking

Weighted ES Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. The FX Effect on VaR calculation to convert it to the display currency as VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the BookHierarchy hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a confidence level defined by the ESConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method. Weighted ES 97.5 Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. The FX Effect on VaR calculation to convert it to the display currency as VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the BookHierarchy hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 97.5% confidence level, using the VaR Interpolation method. Weighted ES 99 Incremental Booking The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. The FX Effect on VaR calculation to convert it to the display currency as VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the BookHierarchy hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 99% confidence level, using the VaR Interpolation method.

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LEstimated booking

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Reference level

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Incremental reference level

ES Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the expected shortfall with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 an ES measure with a confidence level defined by the ESConfidenceLevel context value, using the VaR Interpolation method. Weighted ES Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ES measure with a confidence level defined by the ESConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method. Weighted ES 97.5 Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ES measure with a 97.5% confidence level, using the VaR Interpolation method. Weighted ES 99 Incremental Reference Level The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ES measure with a 99% confidence level, using the VaR Interpolation method.

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LEstimated reference level

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Top

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Incremental top

ES Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the expected shortfall with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 an ES measure with a confidence level defined by the ESConfidenceLevel context value, using the VaR Interpolation method. Weighted ES Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ES measure with a confidence level defined by the ESConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method. Weighted ES 97.5 Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ES measure with a 97.5% confidence level, using the VaR Interpolation method. Weighted ES 99 Incremental Top The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. 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 ES measure with a 99% confidence level, using the VaR Interpolation method.

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LEstimated top

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Trades

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Incremental trades

Weighted ES Incremental Trades The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. The FX Effect on VaR calculation to convert it to the display currency as VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the Trades hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a confidence level defined by the ESConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method. Weighted ES 97.5 Incremental Trades The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. The FX Effect on VaR calculation to convert it to the display currency as VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the Trades hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 97.5% confidence level, using the VaR Interpolation method. Weighted ES 99 Incremental Trades The sum of the PnLVector field of the TradePnLs store is used to compute the weighted ES with two more steps:
  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. The FX Effect on VaR calculation to convert it to the display currency as VaRFXVector.
The resulting VaRFXVector is compared to its drill-up value along the Trades hierarchy. The Incremental Measures algorithm is used as the comparator. The compared value is displayed as a Weighted ES measure with a 99% confidence level, using the VaR Interpolation method.

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LEstimated trades