> ## 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.

# Value at Risk

> Reference for the Value at Risk and Weighted VaR measures in the VaR-ES Cube.

## Taylor VaR

| Measure         | Description                                                                         | Relevant context values                    |
| --------------- | ----------------------------------------------------------------------------------- | ------------------------------------------ |
| Taylor VaR      | Value at Risk with contextual confidence level                                      | [VaRConfidenceLevel](../../context-values) |
| VaR official    | The official VaR aggregated between repriced deals and deals taken with Taylor VaR. |                                            |
| VaR unexplained | VaR unexplained.                                                                    |                                            |

**Taylor VaR**

The following vectors are combined to calculate the `pnl.for.var.explain` vector:

* `Correlation.Vector.PnL.VarExplain`, intermediate measure of Correlation Taylor VaR
* `CrossGamma.Vector.PnL.VarExplain`, intermediate measure of CrossGamma Taylor VaR
* `Delta.Vector.PnL.VarExplain`, intermediate measure of Delta Taylor VaR
* `Gamma.Vector.PnL.VarExplain`, intermediate measure of Gamma Taylor VaR
* `Vanna.Vector.PnL.VarExplain`, intermediate measure of Vanna Taylor VaR
* `Vega.Vector.PnL.VarExplain`, intermediate measure of Vega Taylor VaR
* `Volga.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-values) context value, using the [VaR Interpolation](../../../calculations/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](../../context-values)                                            |
| VaR 97.5          | VaR at 97.5% confidence level                                                                                     |                                                                                       |
| VaR 99            | VaR at 99% confidence level                                                                                       |                                                                                       |
| Parametric VaR    | Parametric Value-at-Risk                                                                                          | [VaRConfidenceLevel](../../context-values)                                            |
| Weighted VaR      | The Weighted variation of the VaR measure. Please refer to the WHS calculations chapter                           | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted VaR 97.5 | The Weighted variation of the VaR measure at 97.5% confidence level. Please refer to the WHS calculations chapter | [WeightedVaRLambda](../../context-values)                                             |
| Weighted VaR 99   | The Weighted variation of the VaR measure at 99% confidence level. Please refer to the WHS calculations chapter   | [WeightedVaRLambda](../../context-values)                                             |

## 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](../../context-values) | [Percentile](../../dimensions/risk) |
| PnL accumulated distribution | Cumulative empirical distribution (in the sense of 'probability distribution') on the PnL values within the PnL vector | [PercentileBuckets](../../context-values) | [Percentile](../../dimensions/risk) |

**PnL distribution** — See also: [Percentile](../../dimensions/risk)

**PnL accumulated distribution** — See also: [Percentile](../../dimensions/risk)

## Component

| Measure                                | Description                                                                                                                  | Related methodologies                        |
| -------------------------------------- | ---------------------------------------------------------------------------------------------------------------------------- | -------------------------------------------- |
| VaR Component BookHierarchy            | Component variation of the VaR along the BookHierarchy. Please refer to the Component measures chapter                       | [Component](../../../calculations/component) |
| VaR Component Booking                  | Component variation of the VaR along the Booking Hierarchy. Please refer to the Component measures chapter                   | [Component](../../../calculations/component) |
| VaR Component Delta BookHierarchy      | Component variation of the VaR daily change along the BookHierarchy. Please refer to the Component measures chapter          | [Component](../../../calculations/component) |
| VaR Component Delta Booking            | Component variation of the VaR daily change along the Booking Hierarchy. Please refer to the Component measures chapter      | [Component](../../../calculations/component) |
| VaR 97.5 Component BookHierarchy       | Component variation of the VaR 97.5 along the BookHierarchy. Please refer to the Component measures chapter                  | [Component](../../../calculations/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](../../../calculations/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](../../../calculations/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](../../../calculations/component) |
| VaR 99 Component BookHierarchy         | Component variation of the VaR 99 along the BookHierarchy. Please refer to the Component measures chapter                    | [Component](../../../calculations/component) |
| VaR 99 Component Booking               | Component variation of the VaR 99 along the Booking Hierarchy. Please refer to the Component measures chapter                | [Component](../../../calculations/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](../../../calculations/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](../../../calculations/component) |

## DtD

| Measure               | Description                                                                               | Relevant context values                                                               |
| --------------------- | ----------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------- |
| VaR DtD               | Change of VaR from one day to another. By default DtD.                                    | [VaRConfidenceLevel](../../context-values)                                            |
| 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](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted VaR 97.5 DtD | Change of Weighted VaR from one day to another at 97.5% confidence level. By default DtD. | [WeightedVaRLambda](../../context-values)                                             |
| Weighted VaR 99 DtD   | Change of Weighted VaR from one day to another at 99% confidence level. By default DtD.   | [WeightedVaRLambda](../../context-values)                                             |

## DtD % difference

| Measure                            | Description                                                                                          | Relevant context values                                                               |
| ---------------------------------- | ---------------------------------------------------------------------------------------------------- | ------------------------------------------------------------------------------------- |
| VaR DtD % Difference               | Percentage change of VaR from one day to another. By default DtD.                                    | [VaRConfidenceLevel](../../context-values)                                            |
| VaR 97.5 DtD % Difference          | Percentage change of VaR 97.5 from one day to another. By default DtD.                               | [VaRConfidenceLevel](../../context-values)                                            |
| VaR 99 DtD % Difference            | Percentage change of VaR 99 from one day to another. By default DtD.                                 | [VaRConfidenceLevel](../../context-values)                                            |
| Weighted VaR DtD % Difference      | Percentage change of Weighted VaR from one day to another. By default DtD.                           | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| 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](../../context-values)                                             |
| Weighted VaR 99 DtD % Difference   | Percentage change of Weighted VaR from one day to another at 99% confidence level. By default DtD.   | [WeightedVaRLambda](../../context-values)                                             |

## Previous

| Measure                    | Description                                                    | Relevant context values                                                               |
| -------------------------- | -------------------------------------------------------------- | ------------------------------------------------------------------------------------- |
| VaR Previous               | Value-at-Risk for the previous day.                            | [VaRConfidenceLevel](../../context-values)                                            |
| VaR 97.5 Previous          | Value-at-Risk for the previous day at 97.5% confidence level.  | [VaRConfidenceLevel](../../context-values)                                            |
| VaR 99 Previous            | Value-at-Risk for the previous day at 99% confidence level.    | [VaRConfidenceLevel](../../context-values)                                            |
| Weighted VaR Previous      | The Weighted VaR of the previous day                           | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted VaR 97.5 Previous | The Weighted VaR of the previous day at 97.5% confidence level | [WeightedVaRLambda](../../context-values)                                             |
| Weighted VaR 99 Previous   | The Weighted VaR of the previous day at 99% confidence level   | [WeightedVaRLambda](../../context-values)                                             |

## Scenario name(s)

<Note>
  All measures in this section output a string.
</Note>

| Measure                            | Description                                                              | Relevant context values                                                               |
| ---------------------------------- | ------------------------------------------------------------------------ | ------------------------------------------------------------------------------------- |
| VaR Scenario Name(s)               | List of scenario names contributing to the VaR calculation               | [VaRConfidenceLevel](../../context-values)                                            |
| 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](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted VaR 97.5 Scenario Name(s) | Scenarios that contribute to the weighted VaR at 97.5% confidence level. | [WeightedVaRLambda](../../context-values)                                             |
| Weighted VaR 99 Scenario Name(s)   | Scenarios that contribute to the weighted VaR at 99% confidence level.   | [WeightedVaRLambda](../../context-values)                                             |

## Values

<Note>
  All measures in this section output a string.
</Note>

| Measure                  | Description                                                               | Relevant context values                    |
| ------------------------ | ------------------------------------------------------------------------- | ------------------------------------------ |
| VaR Values               | PnL values that contribute to the VaR.                                    | [VaRConfidenceLevel](../../context-values) |
| Weighted VaR Values      | PnL values that contribute to the weighted VaR.                           | [VaRConfidenceLevel](../../context-values) |
| 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

<Note>
  All measures in this section output a string.
</Note>

| Measure                             | Description                                                                    | Relevant context values                                                               |
| ----------------------------------- | ------------------------------------------------------------------------------ | ------------------------------------------------------------------------------------- |
| VaR with % Difference               | VaR with percentage difference in brackets.                                    | [VaRConfidenceLevel](../../context-values)                                            |
| VaR 97.5 with % Difference          | VaR 97.5 with percentage difference in brackets.                               | [VaRConfidenceLevel](../../context-values)                                            |
| VaR 99 with % Difference            | VaR 99 with percentage difference in brackets.                                 | [VaRConfidenceLevel](../../context-values)                                            |
| Weighted VaR with % Difference      | Weighted VaR with percentage difference in brackets.                           | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted VaR 97.5 with % Difference | Weighted VaR with percentage difference in brackets at 97.5% confidence level. | [WeightedVaRLambda](../../context-values)                                             |
| Weighted VaR 99 with % Difference   | Weighted VaR with percentage difference in brackets at 99% confidence level.   | [WeightedVaRLambda](../../context-values)                                             |

## 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](../../../calculations/incremental) | [VaRConfidenceLevel](../../context-values)                                            | 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](../../../calculations/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](../../../calculations/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](../../../calculations/incremental) | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | 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](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values)                                             | 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](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values)                                             | BookHierarchy        |

**Weighted VaR Incremental Booking**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a confidence level defined by the [VaRConfidenceLevel](../../context-values) context value and the [WeightedVaRLambda](../../context-values) decay factor, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR 97.5 Incremental Booking**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a 97.5% confidence level, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR 99 Incremental Booking**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a 99% confidence level, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

### LEstimated booking

| Measure                              | Description                                                 | Related methodologies                          |
| ------------------------------------ | ----------------------------------------------------------- | ---------------------------------------------- |
| VaR LEstimated Booking               | Contribution of the upper Booking of Value at Risk          | [Lestimated](../../../calculations/lestimated) |
| VaR 97.5 LEstimated Booking          | Contribution of the upper Booking of VaR 97.5               | [Lestimated](../../../calculations/lestimated) |
| VaR 99 LEstimated Booking            | Contribution of the upper Booking of VaR 99                 | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR LEstimated Booking      | Contribution of the upper Booking of Weighted Value at Risk | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted VaR 97.5      | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR 99 LEstimated Booking   | Contribution of the upper Booking of Weighted VaR 99        | [Lestimated](../../../calculations/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](../../../calculations/incremental) | [VaRConfidenceLevel](../../context-values), [ReferenceLevel](../../context-values)                                            |
| VaR 97.5 Incremental Reference Level          | Incremental variation of the VaR 97.5. Please refer to the Incremental Measures chapter linked below.          | [Incremental](../../../calculations/incremental) | [ReferenceLevel](../../context-values)                                                                                        |
| VaR 99 Incremental Reference Level            | Incremental variation of the VaR 99. Please refer to the Incremental Measures chapter linked below.            | [Incremental](../../../calculations/incremental) | [ReferenceLevel](../../context-values)                                                                                        |
| Weighted VaR Incremental Reference Level      | Incremental variation of the Weighted VaR. Please refer to the Incremental Measures chapter linked below.      | [Incremental](../../../calculations/incremental) | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values), [ReferenceLevel](../../context-values) |
| 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](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values), [ReferenceLevel](../../context-values)                                             |
| Weighted VaR 99 Incremental Reference Level   | Incremental variation of the Weighted VaR 99. Please refer to the Incremental Measures chapter linked below.   | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values), [ReferenceLevel](../../context-values)                                             |

**VaR Incremental Reference Level**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the var 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 VaR measure with a confidence level defined by the [VaRConfidenceLevel](../../context-values) context value, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR Incremental Reference Level**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a confidence level defined by the [VaRConfidenceLevel](../../context-values) context value and the [WeightedVaRLambda](../../context-values) decay factor, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR 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 var 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 VaR measure with a 97.5% confidence level, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR 99 Incremental Reference Level**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a 99% confidence level, using the [VaR Interpolation](../../../calculations/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](../../../calculations/lestimated) |
| VaR 97.5 LEstimated Reference Level          | Contribution of the upper Reference Level of VaR 97.5               | [Lestimated](../../../calculations/lestimated) |
| VaR 99 LEstimated Reference Level            | Contribution of the upper Reference Level of VaR 99                 | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR LEstimated Reference Level      | Contribution of the upper Reference Level of Weighted Value at Risk | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted VaR 97.5      | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR 99 LEstimated Reference Level   | Contribution of the upper Reference Level of Weighted VaR 99        | [Lestimated](../../../calculations/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](../../../calculations/incremental) | [VaRConfidenceLevel](../../context-values)                                            |
| VaR 97.5 Incremental Top          | Incremental variation of the VaR 97.5. Please refer to the Incremental Measures chapter linked below.          | [Incremental](../../../calculations/incremental) |                                                                                       |
| VaR 99 Incremental Top            | Incremental variation of the VaR 99. Please refer to the Incremental Measures chapter linked below.            | [Incremental](../../../calculations/incremental) |                                                                                       |
| Weighted VaR Incremental Top      | Incremental variation of the Weighted VaR. Please refer to the Incremental Measures chapter linked below.      | [Incremental](../../../calculations/incremental) | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) |
| Weighted VaR 97.5 Incremental Top | Incremental variation of the Weighted VaR 97.5. Please refer to the Incremental Measures chapter linked below. | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values)                                             |
| Weighted VaR 99 Incremental Top   | Incremental variation of the Weighted VaR 99. Please refer to the Incremental Measures chapter linked below.   | [Incremental](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values)                                             |

**VaR Incremental Top**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the var 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 VaR measure with a confidence level defined by the [VaRConfidenceLevel](../../context-values) context value, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR Incremental Top**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a confidence level defined by the [VaRConfidenceLevel](../../context-values) context value and the [WeightedVaRLambda](../../context-values) decay factor, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR 97.5 Incremental Top**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a 97.5% confidence level, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR 99 Incremental Top**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a 99% confidence level, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

### LEstimated top

| Measure                          | Description                                             | Related methodologies                          |
| -------------------------------- | ------------------------------------------------------- | ---------------------------------------------- |
| VaR LEstimated Top               | Contribution of the upper Top of Value at Risk          | [Lestimated](../../../calculations/lestimated) |
| VaR 97.5 LEstimated Top          | Contribution of the upper Top of VaR 97.5               | [Lestimated](../../../calculations/lestimated) |
| VaR 99 LEstimated Top            | Contribution of the upper Top of VaR 99                 | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR LEstimated Top      | Contribution of the upper Top of Weighted Value at Risk | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR 97.5 LEstimated Top | Contribution of the upper Top of Weighted VaR 97.5      | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR 99 LEstimated Top   | Contribution of the upper Top of Weighted VaR 99        | [Lestimated](../../../calculations/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

<Note>
  VaR does not have an Incremental Trades measure. This section covers VaR 97.5, VaR 99, and all Weighted VaR variants.
</Note>

| 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](../../../calculations/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](../../../calculations/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](../../../calculations/incremental) | [VaRConfidenceLevel](../../context-values), [WeightedVaRLambda](../../context-values) | 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](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values)                                             | 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](../../../calculations/incremental) | [WeightedVaRLambda](../../context-values)                                             | Trades               |

**Weighted VaR Incremental Trades**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a confidence level defined by the [VaRConfidenceLevel](../../context-values) context value and the [WeightedVaRLambda](../../context-values) decay factor, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR 97.5 Incremental Trades**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a 97.5% confidence level, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

**Weighted VaR 99 Incremental Trades**

The sum of the `PnLVector` field of the [TradePnLs](../../../datastore/vares/trade-pnl) store is used to compute the weighted var 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 VaR measure with a 99% confidence level, using the [VaR Interpolation](../../../calculations/var-interpolation) method.

### LEstimated trades

| Measure                             | Description                                                | Related methodologies                          |
| ----------------------------------- | ---------------------------------------------------------- | ---------------------------------------------- |
| VaR LEstimated Trades               | Contribution of the upper Trades of Value at Risk          | [Lestimated](../../../calculations/lestimated) |
| VaR 97.5 LEstimated Trades          | Contribution of the upper Trades of VaR 97.5               | [Lestimated](../../../calculations/lestimated) |
| VaR 99 LEstimated Trades            | Contribution of the upper Trades of VaR 99                 | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR LEstimated Trades      | Contribution of the upper Trades of Weighted Value at Risk | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted VaR 97.5      | [Lestimated](../../../calculations/lestimated) |
| Weighted VaR 99 LEstimated Trades   | Contribution of the upper Trades of Weighted VaR 99        | [Lestimated](../../../calculations/lestimated) |