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Omega

ima

Description The IMCC multiplier reflecting weighted average of 1 and the ratio of undiversified IMCC(C) to diversified IMCC© (BCBS 395: 2.1 Q1)
Notation $\omega$
Formula $$\omega=\rho +(1-\rho) \frac{ \sum_{i=1}^R IMCC(C_i) }{ IMCC(C)}$$

With $\omega$ IMCC formula can be rewritten as:

$$ IMCC = \omega \cdot IMCC( C ) $$

See also

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