FRTB Accelerator Cube GuideES (Current Ratio)
| Description | For each risk class and allin risk class, this is the ratio of the liquidity adjusted ES for full current set and ES for reduced current set |
|---|---|
| Reference | [MAR33.4] |
| Formula | $$\frac{ES_{F,C}}{ES_{R,C}}$$ |
The measure requires having hierarchy(ies) in the view: [Risk].[Risk Classes].
See also
- ES (Basic).D2D
- Squared LHScaleFactor
- ES (Liquidity Adj.)
- ES (Capital Unconstrained)
- ES (Basic)
- ES (Capital)
- PnL Expand
- ES
- ES (Capital Constrained)
- Squared LHScaleFactor Reference
- Squared ES (Liquidity Adj.)
- LH