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ES (Capital Unconstrained)

ima

Description	The unconstrained expected shortfall charge
Reference	[MAR33.15]
Notation	$IMCC(C)$
Formula	$IMCC(C)=ES_{R,S} \cdot \frac{ES_{R,C} }{ES_{R,C} }$

This measure represents liquidity adjusted and scaled to stress period expected shortfall across risk classes, also referred to as “unconstrained”.

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