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