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IMCC

ima

Description	The internally modelled capital charge, also known as aggregate capital charge for modellable risk factors
Variations	<euler> <incremental>
Reference	[MAR33.15]
Notation	$IMCC$
Formula	$$IMCC=\rho \left ( IMCC(C) \right )+(1-\rho) \left ( \sum_{i=1}^R IMCC(C_i) \right )$$

The measure is based on the weighted average of the constrained and unconstrained expected shortfall charges - ES (Capital Constrained) and ES (Capital Unconstrained).

See also