HD VaR
| Measure | Description | Relevant context values |
|---|---|---|
| HD VaR | Harrel-Davis Value-at-Risk | VaRConfidenceLevel |
| HD VaR 97.5 | Harrel-Davis VaR at 97.5% confidence level | |
| HD VaR 99 | Harrel-Davis VaR at 99% confidence level |
DtD
| Measure | Description | Relevant context values |
|---|---|---|
| HD VaR DtD | Change of Harrel-Davis VaR from one day to another. By default DtD. | VaRConfidenceLevel |
| HD VaR 97.5 DtD | Change of Harrel-Davis VaR 97.5 from one day to another. By default DtD. | |
| HD VaR 99 DtD | Change of Harrel-Davis VaR 99 from one day to another. By default DtD. |
DtD % difference
| Measure | Description | Relevant context values |
|---|---|---|
| HD VaR DtD % Difference | Percentage change of Harrel-Davis VaR from one day to another. By default DtD. | VaRConfidenceLevel |
| HD VaR 97.5 DtD % Difference | Percentage change of Harrel-Davis VaR 97.5 from one day to another. By default DtD. | VaRConfidenceLevel |
| HD VaR 99 DtD % Difference | Percentage change of Harrel-Davis VaR 99 from one day to another. By default DtD. | VaRConfidenceLevel |
Previous
| Measure | Description | Relevant context values |
|---|---|---|
| HD VaR Previous | Harrel-Davis Value-at-Risk for the previous day. | VaRConfidenceLevel |
| HD VaR 97.5 Previous | Harrel-Davis Value-at-Risk for the previous day at 97.5% confidence level. | VaRConfidenceLevel |
| HD VaR 99 Previous | Harrel-Davis Value-at-Risk for the previous day at 99% confidence level. | VaRConfidenceLevel |
With % difference
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|---|---|
| HD VaR with % Difference | Harrel-Davis VaR with percentage difference in brackets. | VaRConfidenceLevel |
| HD VaR 97.5 with % Difference | Harrel-Davis VaR 97.5 with percentage difference in brackets. | VaRConfidenceLevel |
| HD VaR 99 with % Difference | Harrel-Davis VaR 99 with percentage difference in brackets. | VaRConfidenceLevel |
Booking
Incremental booking
| Measure | Description | Related methodologies |
|---|---|---|
| HD VaR Incremental Booking | Contribution of the upper Booking of Harrel-Davis Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
| HD VaR 97.5 Incremental Booking | Contribution of the upper Booking of Harrel-Davis 97.5 Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
| HD VaR 99 Incremental Booking | Contribution of the upper Booking of Harrel-Davis 99 Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
LEstimated booking
| Measure | Description | Related methodologies |
|---|---|---|
| HD VaR LEstimated Booking | Contribution of the upper Booking of Harrel-Davis Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
| HD VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Harrel-Davis 97.5 Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
| HD VaR 99 LEstimated Booking | Contribution of the upper Booking of Harrel-Davis 99 Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
Reference level
Incremental reference level
| Measure | Description | Related methodologies |
|---|---|---|
| HD VaR Incremental Reference Level | Contribution of the upper Reference Level of Harrel-Davis Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
| HD VaR 97.5 Incremental Reference Level | Contribution of the upper Reference Level of Harrel-Davis 97.5 Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
| HD VaR 99 Incremental Reference Level | Contribution of the upper Reference Level of Harrel-Davis 99 Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
LEstimated reference level
| Measure | Description | Related methodologies |
|---|---|---|
| HD VaR LEstimated Reference Level | Contribution of the upper Reference Level of Harrel-Davis Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
| HD VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Harrel-Davis 97.5 Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
| HD VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Harrel-Davis 99 Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
Top
Incremental top
| Measure | Description | Related methodologies |
|---|---|---|
| HD VaR Incremental Top | Contribution of the upper Top of Harrel-Davis Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
| HD VaR 97.5 Incremental Top | Contribution of the upper Top of Harrel-Davis 97.5 Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
| HD VaR 99 Incremental Top | Contribution of the upper Top of Harrel-Davis 99 Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
LEstimated top
| Measure | Description | Related methodologies |
|---|---|---|
| HD VaR LEstimated Top | Contribution of the upper Top of Harrel-Davis Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
| HD VaR 97.5 LEstimated Top | Contribution of the upper Top of Harrel-Davis 97.5 Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
| HD VaR 99 LEstimated Top | Contribution of the upper Top of Harrel-Davis 99 Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
Trades
Incremental trades
| Measure | Description | Related methodologies |
|---|---|---|
| HD VaR Incremental Trades | Contribution of the upper Trades of Harrel-Davis Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
| HD VaR 97.5 Incremental Trades | Contribution of the upper Trades of Harrel-Davis 97.5 Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
| HD VaR 99 Incremental Trades | Contribution of the upper Trades of Harrel-Davis 99 Value at Risk, computed as the shift of the VaR implied by this book which can change the scenario order | Incremental |
LEstimated trades
| Measure | Description | Related methodologies |
|---|---|---|
| HD VaR LEstimated Trades | Contribution of the upper Trades of Harrel-Davis Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
| HD VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Harrel-Davis 97.5 Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |
| HD VaR 99 LEstimated Trades | Contribution of the upper Trades of Harrel-Davis 99 Value at Risk, computed as the scenario level add-ons without changing the scenario order | LEstimated |