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Omega
| Description |
The IMCC multiplier reflecting weighted average of 1 and the ratio of undiversified IMCC(C) to diversified IMCC(C) (BCBS 395: 2.1 Q1) |
| Notation |
$\omega$ |
| Formula |
$$\omega=\rho +(1-\rho) \frac{ \sum_{i=1}^R IMCC(C_i) }{ IMCC(C)}$$ |
With $\omega$ IMCC formula can be rewritten as:
$$ IMCC = \omega \cdot IMCC( C ) $$
See also