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RHO

Description	Weight of the unconstrained expected shortfall in the IMCC calculation, denoted as $\rho$ in para 189 of BCBS 352.

This context value can be used to overwrite the default value of $\rho$ .

The value of $\rho$ is 0.5 in BCBS 352 para 189.

If $\rho$ is set to 0: IMCC will be equal to the constrained expected shortfall.
IF $\rho$ is set to 1: IMCC is equal to the unconstrained expected shortfall.