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FRTB Accelerator Interpretation and Implementation of BCBS 457
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Glossary
IMCC
Description
The internally modelled capital charge, also known as aggregate capital charge for modellable risk factors
Variations
Reference
[MAR33.15]
Notation
$IMCC$
Formula
$$ IMCC = \omega \cdot IMCC( C ) $$
The measure is based on the unconstrained expected shortfall charges - ES (Capital Constrained) and Omega .
note
The decomposition of IMCC (involving the Risk Class hierarchy) will use the compact formula without Omega :
$$IMCC=\rho \left ( IMCC(C) \right )+(1-\rho) \left ( \sum_{i=1}^R IMCC(C_i) \right )$$
See also