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FRTB Accelerator Cube Guide

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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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