> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.
# Expected shortfall
> Reference for the Expected Shortfall and Weighted ES measures in the VaR-ES Cube.
## ES and Weighted ES
| Measure | Description | Relevant context values |
| ---------------- | ---------------------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------ |
| ES | Expected shortfall | [ESConfidenceLevel](../../context-values) |
| ES 97.5 | Expected shortfall at 97.5% confidence level | |
| ES 99 | Expected shortfall at 99% confidence level | |
| Weighted ES | The Weighted variation of the ES measure. Please refer to the WHS calculations chapter | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted ES 97.5 | The Weighted variation of the ES measure at 97.5% confidence level. Please refer to the WHS calculations chapter | [WeightedVaRLambda](../../context-values) |
| Weighted ES 99 | The Weighted variation of the ES measure at 99% confidence level. Please refer to the WHS calculations chapter | [WeightedVaRLambda](../../context-values) |
## DtD
| Measure | Description | Relevant context values |
| -------------------- | ---------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------ |
| ES DtD | Change of ES from one day to another. By default DtD. | [ESConfidenceLevel](../../context-values) |
| ES 97.5 DtD | Change of ES 97.5 from one day to another. By default DtD. | |
| ES 99 DtD | Change of ES 99 from one day to another. By default DtD. | |
| Weighted ES DtD | Change of Weighted ES from one day to another. By default DtD. | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted ES 97.5 DtD | Change of Weighted ES from one day to another at 97.5% confidence level. By default DtD. | [WeightedVaRLambda](../../context-values) |
| Weighted ES 99 DtD | Change of Weighted ES from one day to another at 99% confidence level. By default DtD. | [WeightedVaRLambda](../../context-values) |
## DtD % difference
| Measure | Description | Relevant context values |
| --------------------------------- | --------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------ |
| ES DtD % Difference | Percentage change of ES from one day to another. By default DtD. | [ESConfidenceLevel](../../context-values) |
| ES 97.5 DtD % Difference | Percentage change of ES 97.5 from one day to another. By default DtD. | |
| ES 99 DtD % Difference | Percentage change of ES 99 from one day to another. By default DtD. | |
| Weighted ES DtD % Difference | Percentage change of Weighted ES from one day to another. By default DtD. | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted ES 97.5 DtD % Difference | Percentage change of Weighted ES from one day to another at 97.5% confidence level. By default DtD. | [WeightedVaRLambda](../../context-values) |
| Weighted ES 99 DtD % Difference | Percentage change of Weighted ES from one day to another at 99% confidence level. By default DtD. | [WeightedVaRLambda](../../context-values) |
## Previous
| Measure | Description | Relevant context values |
| ------------------------- | -------------------------------------------------------------------- | ------------------------------------------------------------------------------------ |
| ES Previous | The Expected Shortfall of the previous day | [ESConfidenceLevel](../../context-values) |
| ES 97.5 Previous | The Expected Shortfall of the previous day at 97.5% confidence level | |
| ES 99 Previous | The Expected Shortfall of the previous day at 99% confidence level | |
| Weighted ES Previous | The Weighted ES of the previous day | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted ES 97.5 Previous | The Weighted ES of the previous day at 97.5% confidence level | [WeightedVaRLambda](../../context-values) |
| Weighted ES 99 Previous | The Weighted ES of the previous day at 99% confidence level | [WeightedVaRLambda](../../context-values) |
## Scenario name(s)
All measures in this section output a string.
| Measure | Description | Relevant context values |
| --------------------------------- | ----------------------------------------------------------------------- | ------------------------------------------------------------------------------------ |
| ES Scenario Name(s) | List of scenarios contributing to the ES. | [ESConfidenceLevel](../../context-values) |
| ES 97.5 Scenario Name(s) | List of scenario names contributing to the ES 97.5 calculation | |
| ES 99 Scenario Name(s) | List of scenario names contributing to the ES 99 calculation | |
| Weighted ES Scenario Name(s) | Scenarios that contribute to the weighted ES. | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted ES 97.5 Scenario Name(s) | Scenarios that contribute to the weighted ES at 97.5% confidence level. | [WeightedVaRLambda](../../context-values) |
| Weighted ES 99 Scenario Name(s) | Scenarios that contribute to the weighted ES at 99% confidence level. | [WeightedVaRLambda](../../context-values) |
## Values
All measures in this section output a string.
| Measure | Description | Relevant context values |
| ------------------ | ---------------------------------------------- | ----------------------------------------- |
| ES Values | PnL values that contribute to the ES. | [ESConfidenceLevel](../../context-values) |
| Weighted ES Values | PnL values that contribute to the weighted ES. | [ESConfidenceLevel](../../context-values) |
## With % difference
All measures in this section output a string.
| Measure | Description | Relevant context values |
| ---------------------------------- | ----------------------------------------------------------------------------- | ------------------------------------------------------------------------------------ |
| ES with % Difference | ES with percentage difference in brackets. | [ESConfidenceLevel](../../context-values) |
| ES 97.5 with % Difference | ES 97.5 with percentage difference in brackets. | |
| ES 99 with % Difference | ES 99 with percentage difference in brackets. | |
| Weighted ES with % Difference | Weighted ES with percentage difference in brackets. | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted ES 97.5 with % Difference | Weighted ES with percentage difference in brackets at 97.5% confidence level. | [WeightedVaRLambda](../../context-values) |
| Weighted ES 99 with % Difference | Weighted ES with percentage difference in brackets at 99% confidence level. | [WeightedVaRLambda](../../context-values) |
## Booking
### Incremental booking
| Measure | Description | Related methodologies | Relevant context values | Required hierarchies |
| ------------------------------------ | -------------------------------------------------------------------------------------------------------------------------------------------------------------- | ------------------------------------------------ | ------------------------------------------------------------------------------------ | -------------------- |
| ES Incremental Booking | Incremental variation of the Expected shortfall that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | [Incremental](../../../calculations/incremental) | [ESConfidenceLevel](../../context-values) | |
| ES 97.5 Incremental Booking | Incremental variation of the ES 97.5. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | | |
| ES 99 Incremental Booking | Incremental variation of the ES 99. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | | |
| Weighted ES Incremental Booking | Incremental variation of the Weighted ES that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | [Incremental](../../../calculations/incremental) | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | BookHierarchy |
| Weighted ES 97.5 Incremental Booking | Incremental variation of the Weighted ES 97.5 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values) | BookHierarchy |
| Weighted ES 99 Incremental Booking | Incremental variation of the Weighted ES 99 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values) | BookHierarchy |
**Weighted ES Incremental Booking**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../dimensions/organization) hierarchy. The [Incremental Measures](../../../calculations/incremental) 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-values) context value and the [WeightedVaRLambda](../../context-values) decay factor, using the [VaR Interpolation](../../../calculations/var-interpolation) method.
**Weighted ES 97.5 Incremental Booking**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../dimensions/organization) hierarchy. The [Incremental Measures](../../../calculations/incremental) 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](../../../calculations/var-interpolation) method.
**Weighted ES 99 Incremental Booking**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../dimensions/organization) hierarchy. The [Incremental Measures](../../../calculations/incremental) 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](../../../calculations/var-interpolation) method.
### LEstimated booking
| Measure | Description | Related methodologies |
| ----------------------------------- | ---------------------------------------------------------------- | ---------------------------------------------- |
| ES LEstimated Booking | Contribution of the upper Booking of Expected Shortfall | [Lestimated](../../../calculations/lestimated) |
| ES 97.5 LEstimated Booking | Contribution of the upper Booking of ES 97.5 | [Lestimated](../../../calculations/lestimated) |
| ES 99 LEstimated Booking | Contribution of the upper Booking of ES 99 | [Lestimated](../../../calculations/lestimated) |
| Weighted ES LEstimated Booking | Contribution of the upper Booking of Weighted Expected Shortfall | [Lestimated](../../../calculations/lestimated) |
| Weighted ES 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted ES 97.5 | [Lestimated](../../../calculations/lestimated) |
| Weighted ES 99 LEstimated Booking | Contribution of the upper Booking of Weighted ES 99 | [Lestimated](../../../calculations/lestimated) |
## Reference level
### Incremental reference level
| Measure | Description | Related methodologies | Relevant context values |
| -------------------------------------------- | -------------------------------------------------------------------------------------------------------------------------------- | ------------------------------------------------ | ---------------------------------------------------------------------------------------------------------------------------- |
| ES Incremental Reference Level | Incremental variation of the Expected Shortfall that computes the contribution of the nodes at the ReferenceLevel context value. | [Incremental](../../../calculations/incremental) | [ESConfidenceLevel](../../context-values) |
| ES 97.5 Incremental Reference Level | Incremental variation of the ES 97.5. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | |
| ES 99 Incremental Reference Level | Incremental variation of the ES 99. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | |
| Weighted ES Incremental Reference Level | Incremental variation of the Weighted ES. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values), [ReferenceLevel](../../context-values) |
| Weighted ES 97.5 Incremental Reference Level | Incremental variation of the Weighted ES 97.5. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values), [ReferenceLevel](../../context-values) |
| Weighted ES 99 Incremental Reference Level | Incremental variation of the Weighted ES 99. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values), [ReferenceLevel](../../context-values) |
**ES Incremental Reference Level**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the expected shortfall with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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-values) context value. The [Incremental Measures](../../../calculations/incremental) algorithm is used as the comparator. The compared value is displayed as an ES measure with a confidence level defined by the [ESConfidenceLevel](../../context-values) context value, using the [VaR Interpolation](../../../calculations/var-interpolation) method.
**Weighted ES Incremental Reference Level**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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-values) context value. The [Incremental Measures](../../../calculations/incremental) 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-values) context value and the [WeightedVaRLambda](../../context-values) decay factor, using the [VaR Interpolation](../../../calculations/var-interpolation) method.
**Weighted ES 97.5 Incremental Reference Level**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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-values) context value. The [Incremental Measures](../../../calculations/incremental) 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](../../../calculations/var-interpolation) method.
**Weighted ES 99 Incremental Reference Level**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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-values) context value. The [Incremental Measures](../../../calculations/incremental) 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](../../../calculations/var-interpolation) method.
### LEstimated reference level
| Measure | Description | Related methodologies |
| ------------------------------------------- | ------------------------------------------------------------------------ | ---------------------------------------------- |
| ES LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall | [Lestimated](../../../calculations/lestimated) |
| ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of ES 97.5 | [Lestimated](../../../calculations/lestimated) |
| ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of ES 99 | [Lestimated](../../../calculations/lestimated) |
| Weighted ES LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Expected Shortfall | [Lestimated](../../../calculations/lestimated) |
| Weighted ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted ES 97.5 | [Lestimated](../../../calculations/lestimated) |
| Weighted ES 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted ES 99 | [Lestimated](../../../calculations/lestimated) |
## Top
### Incremental top
| Measure | Description | Related methodologies | Relevant context values |
| -------------------------------- | ------------------------------------------------------------------------------------------------------------------------ | ------------------------------------------------ | ------------------------------------------------------------------------------------ |
| ES Incremental Top | Incremental variation of the Expected Shortfall that computes the contribution of the nodes at the grand total location. | [Incremental](../../../calculations/incremental) | [ESConfidenceLevel](../../context-values) |
| ES 97.5 Incremental Top | Incremental variation of the ES 97.5. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | |
| ES 99 Incremental Top | Incremental variation of the ES 99. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | |
| Weighted ES Incremental Top | Incremental variation of the Weighted ES. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted ES 97.5 Incremental Top | Incremental variation of the Weighted ES 97.5. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values) |
| Weighted ES 99 Incremental Top | Incremental variation of the Weighted ES 99. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values) |
**ES Incremental Top**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the expected shortfall with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../../calculations/incremental) algorithm is used as the comparator. The compared value is displayed as an ES measure with a confidence level defined by the [ESConfidenceLevel](../../context-values) context value, using the [VaR Interpolation](../../../calculations/var-interpolation) method.
**Weighted ES Incremental Top**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../../calculations/incremental) 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-values) context value and the [WeightedVaRLambda](../../context-values) decay factor, using the [VaR Interpolation](../../../calculations/var-interpolation) method.
**Weighted ES 97.5 Incremental Top**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../../calculations/incremental) 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](../../../calculations/var-interpolation) method.
**Weighted ES 99 Incremental Top**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../../calculations/incremental) 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](../../../calculations/var-interpolation) method.
### LEstimated top
| Measure | Description | Related methodologies |
| ------------------------------- | ------------------------------------------------------------ | ---------------------------------------------- |
| ES LEstimated Top | Contribution of the upper Top of Expected Shortfall | [Lestimated](../../../calculations/lestimated) |
| ES 97.5 LEstimated Top | Contribution of the upper Top of ES 97.5 | [Lestimated](../../../calculations/lestimated) |
| ES 99 LEstimated Top | Contribution of the upper Top of ES 99 | [Lestimated](../../../calculations/lestimated) |
| Weighted ES LEstimated Top | Contribution of the upper Top of Weighted Expected Shortfall | [Lestimated](../../../calculations/lestimated) |
| Weighted ES 97.5 LEstimated Top | Contribution of the upper Top of Weighted ES 97.5 | [Lestimated](../../../calculations/lestimated) |
| Weighted ES 99 LEstimated Top | Contribution of the upper Top of Weighted ES 99 | [Lestimated](../../../calculations/lestimated) |
## Trades
### Incremental trades
| Measure | Description | Related methodologies | Relevant context values | Required hierarchies |
| ----------------------------------- | ----------------------------------------------------------------------------------------------------------------------------------- | ------------------------------------------------ | ------------------------------------------------------------------------------------ | -------------------- |
| ES Incremental Trades | Incremental variation of the Expected shortfall that computes the contribution of trades. Refer to the Incremental Measures chapter | [Incremental](../../../calculations/incremental) | [ESConfidenceLevel](../../context-values) | |
| ES 97.5 Incremental Trades | Incremental variation of the ES 97.5. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | | |
| ES 99 Incremental Trades | Incremental variation of the ES 99. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | | |
| Weighted ES Incremental Trades | Incremental variation of the Weighted ES that computes the contribution of trades. Refer to the Incremental Measures chapter | [Incremental](../../../calculations/incremental) | [ESConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | Trades |
| Weighted ES 97.5 Incremental Trades | Incremental variation of the Weighted ES 97.5 that computes the contribution of trades. Refer to the Incremental Measures chapter | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values) | Trades |
| Weighted ES 99 Incremental Trades | Incremental variation of the Weighted ES 99 that computes the contribution of trades. Refer to the Incremental Measures chapter | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values) | Trades |
**Weighted ES Incremental Trades**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../dimensions/booking) hierarchy. The [Incremental Measures](../../../calculations/incremental) 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-values) context value and the [WeightedVaRLambda](../../context-values) decay factor, using the [VaR Interpolation](../../../calculations/var-interpolation) method.
**Weighted ES 97.5 Incremental Trades**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../dimensions/booking) hierarchy. The [Incremental Measures](../../../calculations/incremental) 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](../../../calculations/var-interpolation) method.
**Weighted ES 99 Incremental Trades**
The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted ES with two more steps:
1. The [Sub PnL Vector](../../../calculations/sub-vector) transformation to produce `VaRSubVector`.
2. The [FX Effect on VaR](../../../calculations/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](../../dimensions/booking) hierarchy. The [Incremental Measures](../../../calculations/incremental) 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](../../../calculations/var-interpolation) method.
### LEstimated trades
| Measure | Description | Related methodologies |
| ---------------------------------- | --------------------------------------------------------------- | ---------------------------------------------- |
| ES LEstimated Trades | Contribution of the upper Trades of Expected Shortfall | [Lestimated](../../../calculations/lestimated) |
| ES 97.5 LEstimated Trades | Contribution of the upper Trades of ES 97.5 | [Lestimated](../../../calculations/lestimated) |
| ES 99 LEstimated Trades | Contribution of the upper Trades of ES 99 | [Lestimated](../../../calculations/lestimated) |
| Weighted ES LEstimated Trades | Contribution of the upper Trades of Weighted Expected Shortfall | [Lestimated](../../../calculations/lestimated) |
| Weighted ES 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted ES 97.5 | [Lestimated](../../../calculations/lestimated) |
| Weighted ES 99 LEstimated Trades | Contribution of the upper Trades of Weighted ES 99 | [Lestimated](../../../calculations/lestimated) |