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ES (Liquidity Adj.)

ima

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].

ES (Liquidity Adj.)

See also