FRTB Accelerator Cube GuideES (Liquidity Adj.)
| Description | Generic regulatory liquidity adjusted ES measure |
|---|---|
| Reference | [MAR33.4] |
| Formula | $$ES = \sqrt{\left ( ES_T(P) \right )^2 + \sum_{j\geq 2} \left ( ES_T(P,j)\sqrt{\frac{(LH_j-LH_{j-1})}{T}}) \right )^2}$$ |
This measure applies liquidity horizons adjustment to the ES (Basic) measure. This measure needs to be combined with [Risk].[Risk Classes] and [Risk].[Data Sets] to produce a business interpretable result.
The measure requires having hierarchy(ies) in the view: [Risk].[Risk Classes], [Risk].[Data Sets].
See also
- ES (Capital)
- ES (Capital Constrained)
- Squared LHScaleFactor Reference
- ES (Capital Unconstrained)
- PnL Expand
- ES (Basic).D2D
- Squared ES (Liquidity Adj.)
- ES (Current Ratio)
- ES (Basic)
- LH
- ES
- Squared LHScaleFactor