FRTB Accelerator Cube GuideES (Capital Constrained)
| Description | The non-diversifiable risk class ES charges (also known as constrained expected shortfall charge) |
|---|---|
| Reference | [MAR33.15] |
| Notation | $ \sum_{i=1}^{R}{IMCC(C_i)} \text{ where } IMCC(C_i)=ES_{R,S,i} \cdot \frac{ES_{R,C,i} }{ES_{R,C,i} }$ |
The measure takes the results of ES (Capital) calculation for the individual Risk Classes (not ‘allin’) and then sums them up.
See also
- Squared LHScaleFactor
- ES (Basic).D2D
- LH
- Squared LHScaleFactor Reference
- ES (Current Ratio)
- ES
- ES (Capital Unconstrained)
- ES (Liquidity Adj.)
- Squared ES (Liquidity Adj.)
- ES (Basic)
- ES (Capital)
- PnL Expand