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ES (Capital)

ima

Description	For each risk class and allin risk class, this is expected shortfall charge
Reference	[MAR33.4]
Formula	$ES = ES_{R,S} \cdot \frac{ES_{F,C}}{ES_{R,C}}$

The measure takes the result of ES (Liquidity Adj.) measure filtered by the [Risk].[Data Sets] equal to ‘Reduced Set Stressed’ and scales it by the ratio of the ES (Liquidity Adj.) for [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’.

By the way, the ratio of the ES (Liquidity Adj.) for the [Risk].[Data Sets] equal to ‘Full Set Current’ and ES (Liquidity Adj.) for the ‘Reduced Set Current’ can be displayed using ES (Current Ratio).

The measure requires having hierarchy(ies) in the view: [Risk].[Risk Classes].

ES (Capital)

See also