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.
Taylor VaR
| Measure | Description | Relevant context values |
|---|
| Taylor VaR | Value at Risk with contextual confidence level | VaRConfidenceLevel |
| VaR official | The official VaR aggregated between repriced deals and deals taken with Taylor VaR. | |
| VaR unexplained | VaR unexplained. | |
pnl.for.var.explain vector:
Correlation.Vector.PnL.VarExplain, intermediate measure of Correlation Taylor VaRCrossGamma.Vector.PnL.VarExplain, intermediate measure of CrossGamma Taylor VaRDelta.Vector.PnL.VarExplain, intermediate measure of Delta Taylor VaRGamma.Vector.PnL.VarExplain, intermediate measure of Gamma Taylor VaRVanna.Vector.PnL.VarExplain, intermediate measure of Vanna Taylor VaRVega.Vector.PnL.VarExplain, intermediate measure of Vega Taylor VaRVolga.Vector.PnL.VarExplain, intermediate measure of Volga Taylor VaR
The PnL vector is used by the VaR measure with a confidence level defined by the VaRConfidenceLevel context value, using the VaR Interpolation method.
The VaR metric is the worst PnL scenario at the selected quantile.
VaR and Weighted VaR
| Measure | Description | Relevant context values |
|---|
| VaR | Value-at-Risk | VaRConfidenceLevel |
| VaR 97.5 | VaR at 97.5% confidence level | |
| VaR 99 | VaR at 99% confidence level | |
| Parametric VaR | Parametric Value-at-Risk | VaRConfidenceLevel |
| Weighted VaR | The Weighted variation of the VaR measure. Please refer to the WHS calculations chapter | VaRConfidenceLevel, WeightedVaRLambda |
| Weighted VaR 97.5 | The Weighted variation of the VaR measure at 97.5% confidence level. Please refer to the WHS calculations chapter | WeightedVaRLambda |
| Weighted VaR 99 | The Weighted variation of the VaR measure at 99% confidence level. Please refer to the WHS calculations chapter | WeightedVaRLambda |
Distribution
| Measure | Description | Relevant context values | Hierarchies required in the view |
|---|
| Average | Average of simulated PL values | | |
| Standard deviation | Standard devation of simulated PL values | | |
| PnL distribution | Empirical distribution (in the sense of ‘probasbility distribution’) on the PnL values within the PnL vector | PercentileBuckets | Percentile |
| PnL accumulated distribution | Cumulative empirical distribution (in the sense of ‘probability distribution’) on the PnL values within the PnL vector | PercentileBuckets | Percentile |
Component
| Measure | Description | Related methodologies |
|---|
| VaR Component BookHierarchy | Component variation of the VaR along the BookHierarchy. Please refer to the Component measures chapter | Component |
| VaR Component Booking | Component variation of the VaR along the Booking Hierarchy. Please refer to the Component measures chapter | Component |
| VaR Component Delta BookHierarchy | Component variation of the VaR daily change along the BookHierarchy. Please refer to the Component measures chapter | Component |
| VaR Component Delta Booking | Component variation of the VaR daily change along the Booking Hierarchy. Please refer to the Component measures chapter | Component |
| VaR 97.5 Component BookHierarchy | Component variation of the VaR 97.5 along the BookHierarchy. Please refer to the Component measures chapter | Component |
| VaR 97.5 Component Booking | Component variation of the VaR 97.5 along the Booking Hierarchy. Please refer to the Component measures chapter | Component |
| VaR 97.5 Component Delta BookHierarchy | Component variation of the VaR 97.5 daily change along the BookHierarchy. Please refer to the Component measures chapter | Component |
| VaR 97.5 Component Delta Booking | Component variation of the VaR 97.5 daily change along the Booking Hierarchy. Please refer to the Component measures chapter | Component |
| VaR 99 Component BookHierarchy | Component variation of the VaR 99 along the BookHierarchy. Please refer to the Component measures chapter | Component |
| VaR 99 Component Booking | Component variation of the VaR 99 along the Booking Hierarchy. Please refer to the Component measures chapter | Component |
| VaR 99 Component Delta BookHierarchy | Component variation of the VaR 99 daily change along the BookHierarchy. Please refer to the Component measures chapter | Component |
| VaR 99 Component Delta Booking | Component variation of the VaR 99 daily change along the Booking Hierarchy. Please refer to the Component measures chapter | Component |
DtD
| Measure | Description | Relevant context values |
|---|
| VaR DtD | Change of VaR from one day to another. By default DtD. | VaRConfidenceLevel |
| VaR 97.5 DtD | Change of VaR 97.5 from one day to another. By default DtD. | |
| VaR 99 DtD | Change of VaR 99 from one day to another. By default DtD. | |
| Weighted VaR DtD | Change of Weighted VaR from one day to another. By default DtD. | VaRConfidenceLevel, WeightedVaRLambda |
| Weighted VaR 97.5 DtD | Change of Weighted VaR from one day to another at 97.5% confidence level. By default DtD. | WeightedVaRLambda |
| Weighted VaR 99 DtD | Change of Weighted VaR from one day to another at 99% confidence level. By default DtD. | WeightedVaRLambda |
DtD % difference
| Measure | Description | Relevant context values |
|---|
| VaR DtD % Difference | Percentage change of VaR from one day to another. By default DtD. | VaRConfidenceLevel |
| VaR 97.5 DtD % Difference | Percentage change of VaR 97.5 from one day to another. By default DtD. | VaRConfidenceLevel |
| VaR 99 DtD % Difference | Percentage change of VaR 99 from one day to another. By default DtD. | VaRConfidenceLevel |
| Weighted VaR DtD % Difference | Percentage change of Weighted VaR from one day to another. By default DtD. | VaRConfidenceLevel, WeightedVaRLambda |
| Weighted VaR 97.5 DtD % Difference | Percentage change of Weighted VaR from one day to another at 97.5% confidence level. By default DtD. | WeightedVaRLambda |
| Weighted VaR 99 DtD % Difference | Percentage change of Weighted VaR from one day to another at 99% confidence level. By default DtD. | WeightedVaRLambda |
Previous
| Measure | Description | Relevant context values |
|---|
| VaR Previous | Value-at-Risk for the previous day. | VaRConfidenceLevel |
| VaR 97.5 Previous | Value-at-Risk for the previous day at 97.5% confidence level. | VaRConfidenceLevel |
| VaR 99 Previous | Value-at-Risk for the previous day at 99% confidence level. | VaRConfidenceLevel |
| Weighted VaR Previous | The Weighted VaR of the previous day | VaRConfidenceLevel, WeightedVaRLambda |
| Weighted VaR 97.5 Previous | The Weighted VaR of the previous day at 97.5% confidence level | WeightedVaRLambda |
| Weighted VaR 99 Previous | The Weighted VaR of the previous day at 99% confidence level | WeightedVaRLambda |
Scenario name(s)
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|
| VaR Scenario Name(s) | List of scenario names contributing to the VaR calculation | VaRConfidenceLevel |
| VaR 97.5 Scenario Name(s) | List of scenario names contributing to the VaR 97.5 calculation | |
| VaR 99 Scenario Name(s) | List of scenario names contributing to the VaR 99 calculation | |
| Weighted VaR Scenario Name(s) | Scenarios that contribute to the weighted VaR. | VaRConfidenceLevel, WeightedVaRLambda |
| Weighted VaR 97.5 Scenario Name(s) | Scenarios that contribute to the weighted VaR at 97.5% confidence level. | WeightedVaRLambda |
| Weighted VaR 99 Scenario Name(s) | Scenarios that contribute to the weighted VaR at 99% confidence level. | WeightedVaRLambda |
Values
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|
| VaR Values | PnL values that contribute to the VaR. | VaRConfidenceLevel |
| Weighted VaR Values | PnL values that contribute to the weighted VaR. | VaRConfidenceLevel |
| Weighted VaR 97.5 Values | PnL values that contribute to the weighted VaR at 97.5% confidence level. | |
| Weighted VaR 99 Values | PnL values that contribute to the weighted VaR at 99% confidence level. | |
With % difference
All measures in this section output a string.
| Measure | Description | Relevant context values |
|---|
| VaR with % Difference | VaR with percentage difference in brackets. | VaRConfidenceLevel |
| VaR 97.5 with % Difference | VaR 97.5 with percentage difference in brackets. | VaRConfidenceLevel |
| VaR 99 with % Difference | VaR 99 with percentage difference in brackets. | VaRConfidenceLevel |
| Weighted VaR with % Difference | Weighted VaR with percentage difference in brackets. | VaRConfidenceLevel, WeightedVaRLambda |
| Weighted VaR 97.5 with % Difference | Weighted VaR with percentage difference in brackets at 97.5% confidence level. | WeightedVaRLambda |
| Weighted VaR 99 with % Difference | Weighted VaR with percentage difference in brackets at 99% confidence level. | WeightedVaRLambda |
Booking
Incremental booking
| Measure | Description | Related methodologies | Relevant context values | Required hierarchies |
|---|
| VaR Incremental Booking | Incremental variation of the VaR that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | VaRConfidenceLevel | BookHierarchy |
| VaR 97.5 Incremental Booking | Incremental variation of the VaR 97.5 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | | BookHierarchy |
| VaR 99 Incremental Booking | Incremental variation of the VaR 99 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | | BookHierarchy |
| Weighted VaR Incremental Booking | Incremental variation of the Weighted VaR that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | VaRConfidenceLevel, WeightedVaRLambda | BookHierarchy |
| Weighted VaR 97.5 Incremental Booking | Incremental variation of the Weighted VaR 97.5 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | BookHierarchy |
| Weighted VaR 99 Incremental Booking | Incremental variation of the Weighted VaR 99 that computes the contribution of the nodes along the BookHierarchy. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | BookHierarchy |
PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a confidence level defined by the VaRConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted VaR 97.5 Incremental Booking
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted VaR 99 Incremental Booking
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated booking
| Measure | Description | Related methodologies |
|---|
| VaR LEstimated Booking | Contribution of the upper Booking of Value at Risk | Lestimated |
| VaR 97.5 LEstimated Booking | Contribution of the upper Booking of VaR 97.5 | Lestimated |
| VaR 99 LEstimated Booking | Contribution of the upper Booking of VaR 99 | Lestimated |
| Weighted VaR LEstimated Booking | Contribution of the upper Booking of Weighted Value at Risk | Lestimated |
| Weighted VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted VaR 97.5 | Lestimated |
| Weighted VaR 99 LEstimated Booking | Contribution of the upper Booking of Weighted VaR 99 | Lestimated |
Reference level
Component reference level
| Measure | Description |
|---|
| VaR Component Reference Level | Component explanation of the upper Reference Level of Value at Risk |
| VaR 97.5 Component Reference Level | Component explanation of the upper Reference Level of VaR 97.5 |
| VaR 99 Component Reference Level | Component explanation of the upper Reference Level of VaR 99 |
Component delta reference level
| Measure | Description |
|---|
| VaR Component Delta Reference Level | Component DtD explanation of the upper Reference Level of Value at Risk |
| VaR 97.5 Component Delta Reference Level | Component DtD explanation of the upper Reference Level of VaR 97.5 |
| VaR 99 Component Delta Reference Level | Component DtD explanation of the upper Reference Level of VaR 99 |
Incremental reference level
| Measure | Description | Related methodologies | Relevant context values |
|---|
| VaR Incremental Reference Level | Incremental variation of the VaR. Please refer to the Incremental Measures chapter linked below. | Incremental | VaRConfidenceLevel, ReferenceLevel |
| VaR 97.5 Incremental Reference Level | Incremental variation of the VaR 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | ReferenceLevel |
| VaR 99 Incremental Reference Level | Incremental variation of the VaR 99. Please refer to the Incremental Measures chapter linked below. | Incremental | ReferenceLevel |
| Weighted VaR Incremental Reference Level | Incremental variation of the Weighted VaR. Please refer to the Incremental Measures chapter linked below. | Incremental | VaRConfidenceLevel, WeightedVaRLambda, ReferenceLevel |
| Weighted VaR 97.5 Incremental Reference Level | Incremental variation of the Weighted VaR 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda, ReferenceLevel |
| Weighted VaR 99 Incremental Reference Level | Incremental variation of the Weighted VaR 99. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda, ReferenceLevel |
PnLVector field of the TradePnLs store is used to compute the var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a confidence level defined by the VaRConfidenceLevel context value, using the VaR Interpolation method.
Weighted VaR Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a confidence level defined by the VaRConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted VaR 97.5 Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted VaR 99 Incremental Reference Level
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated reference level
| Measure | Description | Related methodologies |
|---|
| VaR LEstimated Reference Level | Contribution of the upper Reference Level of Value at Risk | Lestimated |
| VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of VaR 97.5 | Lestimated |
| VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of VaR 99 | Lestimated |
| Weighted VaR LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Risk | Lestimated |
| Weighted VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted VaR 97.5 | Lestimated |
| Weighted VaR 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted VaR 99 | Lestimated |
Top
Component top
| Measure | Description |
|---|
| VaR Component Top | Component explanation of the upper Top of Value at Risk |
| VaR 97.5 Component Top | Component explanation of the upper Top of VaR 97.5 |
| VaR 99 Component Top | Component explanation of the upper Top of VaR 99 |
Component delta top
| Measure | Description |
|---|
| VaR Component Delta Top | Component DtD explanation of the upper Top of Value at Risk |
| VaR 97.5 Component Delta Top | Component DtD explanation of the upper Top of VaR 97.5 |
| VaR 99 Component Delta Top | Component DtD explanation of the upper Top of VaR 99 |
Incremental top
| Measure | Description | Related methodologies | Relevant context values |
|---|
| VaR Incremental Top | Incremental variation of the VaR. Please refer to the Incremental Measures chapter linked below. | Incremental | VaRConfidenceLevel |
| VaR 97.5 Incremental Top | Incremental variation of the VaR 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | |
| VaR 99 Incremental Top | Incremental variation of the VaR 99. Please refer to the Incremental Measures chapter linked below. | Incremental | |
| Weighted VaR Incremental Top | Incremental variation of the Weighted VaR. Please refer to the Incremental Measures chapter linked below. | Incremental | VaRConfidenceLevel, WeightedVaRLambda |
| Weighted VaR 97.5 Incremental Top | Incremental variation of the Weighted VaR 97.5. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda |
| Weighted VaR 99 Incremental Top | Incremental variation of the Weighted VaR 99. Please refer to the Incremental Measures chapter linked below. | Incremental | WeightedVaRLambda |
PnLVector field of the TradePnLs store is used to compute the var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a confidence level defined by the VaRConfidenceLevel context value, using the VaR Interpolation method.
Weighted VaR Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a confidence level defined by the VaRConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted VaR 97.5 Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted VaR 99 Incremental Top
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated top
| Measure | Description | Related methodologies |
|---|
| VaR LEstimated Top | Contribution of the upper Top of Value at Risk | Lestimated |
| VaR 97.5 LEstimated Top | Contribution of the upper Top of VaR 97.5 | Lestimated |
| VaR 99 LEstimated Top | Contribution of the upper Top of VaR 99 | Lestimated |
| Weighted VaR LEstimated Top | Contribution of the upper Top of Weighted Value at Risk | Lestimated |
| Weighted VaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted VaR 97.5 | Lestimated |
| Weighted VaR 99 LEstimated Top | Contribution of the upper Top of Weighted VaR 99 | Lestimated |
Trades
Component trades
| Measure | Description |
|---|
| VaR Component Trades | Component explanation of the upper Trades of Value at Risk |
| VaR 97.5 Component Trades | Component explanation of the upper Trades of VaR 97.5 |
| VaR 99 Component Trades | Component explanation of the upper Trades of VaR 99 |
Component delta trades
| Measure | Description |
|---|
| VaR Component Delta Trades | Component DtD explanation of the upper Trades of Value at Risk |
| VaR 97.5 Component Delta Trades | Component DtD explanation of the upper Trades of VaR 97.5 |
| VaR 99 Component Delta Trades | Component DtD explanation of the upper Trades of VaR 99 |
Incremental trades
VaR does not have an Incremental Trades measure. This section covers VaR 97.5, VaR 99, and all Weighted VaR variants.
| Measure | Description | Related methodologies | Relevant context values | Required hierarchies |
|---|
| VaR 97.5 Incremental Trades | Incremental variation of the VaR 97.5 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | | Trades |
| VaR 99 Incremental Trades | Incremental variation of the VaR 99 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | | Trades |
| Weighted VaR Incremental Trades | Incremental variation of the Weighted VaR that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | VaRConfidenceLevel, WeightedVaRLambda | Trades |
| Weighted VaR 97.5 Incremental Trades | Incremental variation of the Weighted VaR 97.5 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | Trades |
| Weighted VaR 99 Incremental Trades | Incremental variation of the Weighted VaR 99 that computes the contribution of trades. Refer to the Incremental Measures chapter | Incremental | WeightedVaRLambda | Trades |
PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a confidence level defined by the VaRConfidenceLevel context value and the WeightedVaRLambda decay factor, using the VaR Interpolation method.
Weighted VaR 97.5 Incremental Trades
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a 97.5% confidence level, using the VaR Interpolation method.
Weighted VaR 99 Incremental Trades
The sum of the PnLVector field of the TradePnLs store is used to compute the weighted var with two more steps:
- The Sub PnL Vector transformation to produce
VaRSubVector.
- 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 VaR measure with a 99% confidence level, using the VaR Interpolation method.
LEstimated trades
| Measure | Description | Related methodologies |
|---|
| VaR LEstimated Trades | Contribution of the upper Trades of Value at Risk | Lestimated |
| VaR 97.5 LEstimated Trades | Contribution of the upper Trades of VaR 97.5 | Lestimated |
| VaR 99 LEstimated Trades | Contribution of the upper Trades of VaR 99 | Lestimated |
| Weighted VaR LEstimated Trades | Contribution of the upper Trades of Weighted Value at Risk | Lestimated |
| Weighted VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted VaR 97.5 | Lestimated |
| Weighted VaR 99 LEstimated Trades | Contribution of the upper Trades of Weighted VaR 99 | Lestimated |
