Incremental

Naming pattern: Measures with “Incremental” behavior follow the name pattern:Main Measure Name Incremental.

The Incremental measures evaluate the impact of a trade or a group of trades (‘current scope’) on the result at a selected ReferenceLevel, by comparing it with a computation as if the considered trade or aggregate of trades were hypothetically removed.

$M^{incremental}(\text{scope})=M(\text{portfolio}) - M(\text{portfolio excl scope})$

Example

In the following example, the IMCC measure is showing the impact of individual desks on the firm-level IMCC number.

• In this example, the ReferenceLevel is set to Enterprise.

• IMCC for desk “Bonds” is -17 mio, which means, that this portfolio is reducing firm-level IMCC by 17 mio.

To validate the incremental measure for desk “Bonds”, let’s compute firm-level IMCC with a filter excluding the desk:

From the screenshot above, we can see that IMCC is approximately 17 mio higher (109.7 - 92.6) if the “Bonds” desk positions were closed-out.

Follow this link to see the measures with the described behavior: Incremental Measures.